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A predictability test for a small number of nested models

Eleonora Granziera (), Kirstin Hubrich () and Hyungsik Moon ()

Journal of Econometrics, 2014, vol. 182, issue 1, 174-185

Abstract: We introduce quasi-likelihood ratio tests for one sided multivariate hypotheses to evaluate the null that a parsimonious model performs equally well as a small number of models which nest the benchmark. The limiting distributions of the test statistics are non-standard. For critical values we consider: (i) bootstrapping and (ii) simulations assuming normality of the mean square prediction error difference. The proposed tests have good size and power properties compared with existing equal and superior predictive ability tests for multiple model comparison. We apply our tests to study the predictive ability of a Phillips curve type for the US core inflation.

Keywords: Point-forecast evaluation; Multi-model comparison; Fixed regressors bootstrap (search for similar items in EconPapers)
JEL-codes: C12 C15 C52 C53 (search for similar items in EconPapers)
Date: 2014
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Working Paper: A predictability test for a small number of nested models (2013) Downloads
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