NEW MSE TESTS FOR EVALUATING FORECASTING PERFORMANCE: EMPIRICS AND BOOTSTRAP

Carlos W. Robledo, Hector O. Zapata and Michael McCracken

No 20686, 2001 Annual meeting, August 5-8, Chicago, IL from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: Two asymptotically valid out-of-sample MSE tests have been developed by Diebold-Mariano (1995) and Stock-Watson (1999). The empirical usefulness of the tests is illustrated through a U.S. wheat model estimated with fixed, recursive and rolling forecasting schemes. Bootstrap methods are adopted to reflect small sample size effect on tests.

Keywords: Demand; and; Price; Analysis (search for similar items in EconPapers)
Pages: 17
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea01:20686

DOI: 10.22004/ag.econ.20686

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