Asymptotic Inference about Predictive Ability

Kenneth D. West ()

Econometrica, 1996, vol. 64, issue 5, pages 1067-84

Abstract: This paper develops procedures for inference about the moments of smooth functions of out-of-sample predictions and prediction errors when there is a long time series of predictions and realizations. The aim is to provide tools for analysis of predictive accuracy and efficiency and, more generally, of predictive ability. The paper allows for nonnested and nonlinear models as well as for possible dependence of predictions and prediction errors on estimated regression parameters. Simulations indicate that the procedures can work well in samples of size typically available. Copyright 1996 by The Econometric Society.

Date: 1996
View citations in EconPapers

Downloads: (external link)
http://links.jstor.org/sici?sici=0012-9682%2819960 ... O%3B2-O&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
Working Paper: Asymptotic Inference About Predictive Ability (1994)
Working Paper: ASYMPTOTIC INFERENCE ABOUT PREDICTIVE ABILITY (1994)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Ordering information: This journal article can be ordered from
http://www.blackwell ... mb.asp?ref=0012-9682

Access Statistics for this article

Econometrica is edited by Stephen Morris

More articles in Econometrica from Econometric Society
Contact information at EDIRC.
Series data maintained by Christopher F. Baum ().