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.
Multiple Contrast Tests in the Presence of Heteroscedasticity
β Scribed by Mario Hasler; Ludwig A. Hothorn
- Publisher
- John Wiley and Sons
- Year
- 2008
- Tongue
- English
- Weight
- 90 KB
- Volume
- 50
- Category
- Article
- ISSN
- 0323-3847
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