| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14601 |
| 来源ID | Working Paper 14601 |
| Forecast Evaluation of Small Nested Model Sets | |
| Kirstin Hubrich; Kenneth D. West | |
| 发表日期 | 2008-12-23 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the benchmark. Our procedures compare the benchmark to all the alternative models simultaneously rather than sequentially, and do not require reestimation of models as part of a bootstrap procedure. Both procedures adjust MSPE differences in accordance with Clark and West (2007); one procedure then examines the maximum t-statistic, the other computes a chi-squared statistic. Our simulations examine the proposed procedures and two existing procedures that do not adjust the MSPE differences: a chi-squared statistic, and White's (2000) reality check. In these simulations, the two statistics that adjust MSPE differences have most accurate size, and the procedure that looks at the maximum t-statistic has best power. We illustrate our procedures by comparing forecasts of different models for U.S. inflation. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles |
| URL | https://www.nber.org/papers/w14601 |
| 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/572276 |
| 推荐引用方式 GB/T 7714 | Kirstin Hubrich,Kenneth D. West. Forecast Evaluation of Small Nested Model Sets. 2008. |
| 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 | ||
| w14601.pdf（323KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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