Forecast evaluation tests in the presenc
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David I. Harvey; Stephen J. Leybourne; Paul Newbold
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Article
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1999
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John Wiley and Sons
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English
โ 134 KB
๐ 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.