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Forecast evaluation tests in the presence of ARCH

✍ Scribed by David I. Harvey; Stephen J. Leybourne; Paul Newbold

Publisher: John Wiley and Sons
Year: 1999
Tongue: English
Weight: 134 KB
Volume: 18
Category: Article
ISSN: 0277-6693
DOI: 10.1002/(sici)1099-131x(199911)18:6<435::aid-for762>3.0.co;2-b

No coin nor oath required. For personal study only.

✦ Synopsis

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.

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