Working Paper
Tests of Conditional Predictive Ability: A Comment
Abstract: We investigate a test of equal predictive ability delineated in Giacomini and White (2006; Econometrica). In contrast to a claim made in the paper, we show that their test statistic need not be asymptotically Normal when a fixed window of observations is used to estimate model parameters. An example is provided in which, instead, the test statistic diverges with probability one under the null. Simulations reinforce our analytical results.
Keywords: prediction; out-of-sample; inference;
JEL Classification: C12; C52; C53;
https://doi.org/10.20955/wp.2019.018
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Provider: Federal Reserve Bank of St. Louis
Part of Series: Working Papers
Publication Date: 2019-07-29
Number: 2019-18
Pages: 5 pages
Related Works
- Working Paper Revision (2020-03-09) : Diverging Tests of Equal Predictive Ability
- Working Paper Original (2019-07-29) : You are here.