Inference about predictive ability when there are many predictors
We enhance the theory of asymptotic inference about predictive ability by considering the case when a set of variables used to construct predictions is sizable. To this end, we consider an alternative asymptotic framework where the number of predictors tends to in nity with the sample size, although more slowly. Depending on the situation the asymptotic normal distribution of an average prediction criterion either gains additional variance as in the few predictors case, or gains non-zero bias which has no analogs in the few predictors case. By properly modifying conventional test statistics it is possible to remove most size distortions when there are many predictors, and improve test sizes even when there are few of them.
|Date of creation:||Jan 2007|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +7 (495) 105 50 02
Fax: +7 (495) 105 50 03
Web page: http://www.cefir.ru
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- repec:att:wimass:9417 is not listed on IDEAS
- Kenneth D. West & Todd Clark, 2006.
"Approximately Normal Tests for Equal Predictive Accuracy in Nested Models,"
NBER Technical Working Papers
0326, National Bureau of Economic Research, Inc.
- Clark, Todd E. & West, Kenneth D., 2007. "Approximately normal tests for equal predictive accuracy in nested models," Journal of Econometrics, Elsevier, vol. 138(1), pages 291-311, May.
- Todd E. Clark & Kenneth D. West, 2005. "Approximately normal tests for equal predictive accuracy in nested models," Research Working Paper RWP 05-05, Federal Reserve Bank of Kansas City.
- Todd E. Clark & Michael McCracken, 1999.
"Tests of Equal Forecast Accuracy and Encompassing for Nested Models,"
Computing in Economics and Finance 1999
1241, Society for Computational Economics.
- Clark, Todd E. & McCracken, Michael W., 2001. "Tests of equal forecast accuracy and encompassing for nested models," Journal of Econometrics, Elsevier, vol. 105(1), pages 85-110, November.
- Todd E. Clark & Michael W. McCracken, 2000. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Econometric Society World Congress 2000 Contributed Papers 0319, Econometric Society.
- Todd E. Clark & Michael W. McCracken, 1999. "Tests of equal forecast accuracy and encompassing for nested models," Research Working Paper 99-11, Federal Reserve Bank of Kansas City.
- John C. Chao & Norman Rasmus Swanson, 2004.
"Consistent Estimation with a Large Number of Weak Instruments,"
Yale School of Management Working Papers
ysm374, Yale School of Management.
- John C. Chao & Norman R. Swanson, 2005. "Consistent Estimation with a Large Number of Weak Instruments," Econometrica, Econometric Society, vol. 73(5), pages 1673-1692, 09.
- Chao, John Chao & Norman R. Swanson, 2003. "Consistent Estimation with a Large Number of Weak Instruments," Cowles Foundation Discussion Papers 1417, Cowles Foundation for Research in Economics, Yale University.
- John Chao & Norman Swanson, 2004. "Consistent Estimation with a Large Number of Weak Instruments," Departmental Working Papers 200421, Rutgers University, Department of Economics.
- West, Kenneth D & McCracken, Michael W, 1998.
"Regression-Based Tests of Predictive Ability,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 817-40, November.
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 134-44, January.
- Graham Elliott & Allan Timmermann, 2008.
Journal of Economic Literature,
American Economic Association, vol. 46(1), pages 3-56, March.
- West, Kenneth D, 1996.
"Asymptotic Inference about Predictive Ability,"
Econometric Society, vol. 64(5), pages 1067-84, September.
- John Galbraith & Victoria Zinde-Walsh, 2006. "Reduced-Dimension Control Regression," Departmental Working Papers 2006-17, McGill University, Department of Economics.
- Koenker, Roger, 1988. "Asymptotic Theory and Econometric Practice," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(2), pages 139-47, April.
- Koenker, Roger & Machado, Jose A. F., 1999. "GMM inference when the number of moment conditions is large," Journal of Econometrics, Elsevier, vol. 93(2), pages 327-344, December.
- Bekker, Paul A, 1994. "Alternative Approximations to the Distributions of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 62(3), pages 657-81, May.
- McCracken,M.W. & West,K.D., 2001. "Inference about predictive ability," Working papers 14, Wisconsin Madison - Social Systems.
- McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October.
- Stock, James H. & Watson, Mark W., 2006. "Forecasting with Many Predictors," Handbook of Economic Forecasting, Elsevier.
When requesting a correction, please mention this item's handle: RePEc:cfr:cefirw:w0096. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Julia Babich)
If references are entirely missing, you can add them using this form.