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Forecast Comparison in L2

  • Bruce Mizrach

    ()

    (Rutgers University)

This paper provides a comprehensive framework for comparing predictors of univariate time series in the mean square norm. Initially, the forecast errors are assumed to be unbiased, independent, and normally distributed. Each of these is progressively relaxed. A new heteroscedasticity and autocorrelation consistent statistic for forecast comparison is derived. Finite sample distributions are tabulated in a sequence of Monte Carlo exercises. Power is examined by comparing forecast errors from a moving average model with misspecified autoregressive alternatives.

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File URL: ftp://snde.rutgers.edu/Rutgers/wp/1995-24.pdf
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Paper provided by Rutgers University, Department of Economics in its series Departmental Working Papers with number 199524.

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Date of creation: 01 Aug 1996
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Handle: RePEc:rut:rutres:199524
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  1. Meese, Richard A & Rogoff, Kenneth, 1988. " Was It Real? The Exchange Rate-Interest Differential Relation over the Modern Floating-Rate Period," Journal of Finance, American Finance Association, vol. 43(4), pages 933-48, September.
  2. Clements, M.P. & Hendry, D., 1992. "On the Limitations of Comparing Mean Square Forecast Errors," Economics Series Working Papers 99138, University of Oxford, Department of Economics.
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