| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0226 |
| 来源ID | Technical Working Paper 0226 |
| Regression-Based Tests of Predictive Ability | |
| Kenneth D. West; Michael W. McCracken | |
| 发表日期 | 1998-03-01 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | We develop regression-based tests of hypotheses about out of sample prediction errors. Representative tests include ones for zero mean and zero correlation between a prediction error and a vector of predictors. The relevant environments are ones in which predictions depend on estimated parameters. We show that standard regression statistics generally fail to account for error introduced by estimation of these parameters. We propose computationally convenient test statistics that properly account for such error. Simulations indicate that the procedures can work well in samples of size typically available, although there sometimes are substantial size distortions. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0226 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563949 |
| 推荐引用方式 GB/T 7714 | Kenneth D. West,Michael W. McCracken. Regression-Based Tests of Predictive Ability. 1998. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0226.pdf（1772KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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