Testing for Relative Predictive Accuracy: A Critical Viewpoint

Kunst, Robert M. (May 2003) Testing for Relative Predictive Accuracy: A Critical Viewpoint. IHS Economics Series 130

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Abstract: Tests for relative predictive accuracy have become a widespread addendum to forecast comparisons. Many empirical research reports conclude that the difference between the entertained forecasting models is 'insignificant'. This paper collects arguments that cast doubt on the usefulness of relative predictive accuracy tests. The main point is not that test power is too low but that their application is conceptually mistaken. The features are highlighted by means of some Monte Carlo experiments for simple time-series decision problems.;

Item Type: IHS Series
Keywords: 'Information criteria' 'Forecasting' 'Hypothesis testing'
Classification Codes (e.g. JEL): C12, C32, C53
Status: Published
Date Deposited: 26 Sep 2014 10:37
Last Modified: 21 Jul 2017 11:06
URI: http://irihs.ihs.ac.at/id/eprint/1489

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