Recursive predictability tests for real-time data

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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.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.en
• dc.format.mimetype application/pdf
• 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.doi http://dx.doi.org/10.1198/073500104000000668
• dc.identifier.issn 0735-0015
• dc.identifier.uri http://hdl.handle.net/10230/36309
• 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.rights.accessRights info:eu-repo/semantics/openAccess
• dc.subject.keyword Model selection
• dc.subject.keyword Predictive ability
• dc.subject.keyword Sequential tests
• dc.title Recursive predictability tests for real-time data
• dc.type info:eu-repo/semantics/article
• dc.type.version info:eu-repo/semantics/acceptedVersion