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来源类型Working Paper
规范类型报告
DOI10.3386/t0226
来源IDTechnical 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
URLhttps://www.nber.org/papers/t0226
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/563949
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GB/T 7714
Kenneth D. West,Michael W. McCracken. Regression-Based Tests of Predictive Ability. 1998.
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