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Second order bias in a forecast evaluation statistic (in Russian)

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  • Victor Kitov

    (Moscow State University, Moscow, Russia)

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    Abstract

    We derive the second order asymptotic bias for a statistic evaluating the quality of out-of-sample forecasts by parametric models. The existing literature admits that the quality of the first order asymptotic approximation may be unsatisfactory. We find that the second order asymptotic bias allows one to explain insufficient precision of the asymptotic approximation. Simulations confirm the obtained analytical results.

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    File URL: http://quantile.ru/06/06-VK.pdf
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    Bibliographic Info

    Article provided by Quantile in its journal Quantile.

    Volume (Year): (2009)
    Issue (Month): 6 (March)
    Pages: 77-91

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    Handle: RePEc:qnt:quantl:y:2009:i:6:p:77-91

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    Web page: http://quantile.ru/

    Related research

    Keywords: forecast evaluation; model comparison; parameter estimation; second order asymptotic bias; hypothesis testing;

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