New Mse Tests For Evaluating Forecasting Performance: Empirics And Bootstrap
AbstractTwo asymptotically valid out-of-sample MSE tests have been developed by Diebold-Mariano (1995) and Stock-Watson (1999). The empirical usefulness of the tests is illustrated through a U.S. wheat model estimated with fixed, recursive and rolling forecasting schemes. Bootstrap methods are adopted to reflect small sample size effect on tests.
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Bibliographic InfoPaper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 2001 Annual meeting, August 5-8, Chicago, IL with number 20686.
Date of creation: 2001
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