Testing for Relative Predictive Accuracy: A Critical Viewpoint
Robert Kunst ()
No 130, Economics Series from Institute for Advanced Studies
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.
Keywords: Information criteria; Forecasting; Hypothesis testing (search for similar items in EconPapers)
JEL-codes: C12 C32 C53 (search for similar items in EconPapers)
Pages: 45 pages
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14) Track citations by RSS feed
Downloads: (external link)
http://www.ihs.ac.at/publications/eco/es-130.pdf First version, 2003 (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ihs:ihsesp:130
Ordering information: This working paper can be ordered from
Institute for Advanced Studies - Library, Josefstädterstr. 39, A-1080 Vienna, Austria
Access Statistics for this paper
More papers in Economics Series from Institute for Advanced Studies Josefstädterstr. 39, A-1080 Vienna, Austria. Contact information at EDIRC.
Bibliographic data for series maintained by Doris Szoncsitz ().