文章基本信息

标题：A predictability test for a small number of nested models
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作者：Eleonora Granziera ; Kirstin Hubrich ; Hyungsik Roger Moon 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2013
出版社：European Central Bank
摘要：In this paper we introduce Quasi Likelihood Ratio tests for one sided multivariate hypothe- ses to evaluate the null that a parsimonious model performs equally well as a small number of models which nest the benchmark. We show that the limiting distributions of the test statistics are non standard. For critical values we consider two approaches: (i) bootstrapping and (ii) simulations assuming normality of the mean square prediction error (MSPE) di¤erence. The size and the power performance of the tests are compared via Monte Carlo experiments with existing equal and superior predictive ability tests for multiple model comparison. We nd that our proposed tests are well sized for one step ahead as well as for multi-step ahead forecasts when critical values are bootstrapped. The experiments on the power reveal that the superior predictive ability test performs last while the ranking between the quasi likelihood-ratio test and the other equal predictive ability tests depends on the simulation settings. Last, we apply our test to draw conclusions about the predictive ability of a Phillips type curve for the US core ination.
关键词：Out-of sample; point-forecast evaluation; multi-model comparison; predictive;ability; direct multi-step forecasts; xed regressors bootstrap.