𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Forecast evaluation of AveAve forecasts in the global VAR context

✍ Scribed by Tara M. Sinclair; H.O. Stekler

Book ID
113648040
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
436 KB
Volume
25
Category
Article
ISSN
0169-2070

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Forecast evaluation tests in the presenc
Forecast evaluation tests in the presence of ARCH
✍ David I. Harvey; Stephen J. Leybourne; Paul Newbold πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 134 KB πŸ‘ 2 views

We consider tests for the equality of prediction mean squared errors and for forecast encompassing. It is shown that, if forecast errors exhibit ARCH, size distortions are induced in the usual tests. Adjusted test statistics are suggested to alleviate this problem.