Nonparametric Tests For Bias In Estimates And Forecasts

Charles Coleman ()

MPRA Paper from University Library of Munich, Germany

Abstract: Nonparametric tests can be made for bias in estimate and forecast errors without assuming identical and independent distributions. Tests are created for bias in the median and the mean. The test for median bias is a form of the familiar Sign Test for the median. For mean bias, an asymptotically normal test statistic is derived from the mean algebraic percentage error. These statistics are then applied to cross-sectional and time series contexts.

Keywords: Estimates; forecasts; bias; MALPE (search for similar items in EconPapers)
JEL-codes: C13 C52 (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (1)

Published in Proceedings of the Business and Economics Section, American Statistical Association 1999 (1999): pp. 251-256

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:77841

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