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dc.contributor.author Inoue, Atsushi
dc.contributor.author Rossi, Barbara, 1971-
dc.date.accessioned 2019-01-17T08:45:08Z
dc.date.available 2019-01-17T08:45:08Z
dc.date.issued 2005
dc.identifier.citation Inoue A, Rossi B. Recursive predictability tests for real-time data. J Bus Econ Stat. 2005 July;23(3):336-45. DOI: 10.1198/073500104000000668
dc.identifier.issn 0735-0015
dc.identifier.uri http://hdl.handle.net/10230/36309
dc.description.abstract We propose a sequential test for predictive ability for recursively assessing whether some economic variables have explanatory content for another variable. In the forecasting literature it is common to assess predictive ability by using “one-shot” tests at each estimation period. We show that this practice leads to size distortions, selects overfitted models and provides spurious evidence of in-sample predictive ability, and may lower the forecast accuracy of the model selected by the test. The usefulness of the proposed test is shown in well-known empirical applications to the real-time predictive content of money for output and the selection between linear and nonlinear models.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Taylor & Francis
dc.relation.ispartof Journal of Business & Economic Statistics. 2005 July;23(3):336-45.
dc.rights © Taylor & Francis. This is an electronic version of an article published in Inoue A, Rossi B. Recursive predictability tests for real-time data. J Bus Econ Stat. 2005 July;23(3):336-45. Journal of Business and Economic Statistics is available online at: https://dx.doi.org/10.1198/073500104000000668
dc.title Recursive predictability tests for real-time data
dc.type info:eu-repo/semantics/article
dc.identifier.doi http://dx.doi.org/10.1198/073500104000000668
dc.subject.keyword Model selection
dc.subject.keyword Predictive ability
dc.subject.keyword Sequential tests
dc.rights.accessRights info:eu-repo/semantics/openAccess
dc.type.version info:eu-repo/semantics/acceptedVersion


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