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dc.contributor.authorBlaskowitz, Oliver J.en_US
dc.contributor.authorHerwartz, Helmuten_US
dc.date.accessioned2009-01-20en_US
dc.date.accessioned2009-07-23T15:15:12Z-
dc.date.available2009-07-23T15:15:12Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/25316-
dc.description.abstractCommon approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations. Yet, in the presence of serial correlation they are markedly oversized as confirmed in a simulation study. We summarize serial correlation robust test procedures and propose a bootstrap approach. By means of a Monte Carlo study we illustrate the relative merits of the latter. Two empirical applications demonstrate the relevance to account for serial correlation in economic time series when testing for the value of directional forecasts.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2008,073en_US
dc.subject.jelC32en_US
dc.subject.jelC52en_US
dc.subject.jelC53en_US
dc.subject.jelE17en_US
dc.subject.jelE27en_US
dc.subject.jelE47en_US
dc.subject.jelF17en_US
dc.subject.jelF37en_US
dc.subject.jelF47en_US
dc.subject.jelG11en_US
dc.subject.jelG17en_US
dc.subject.ddc330en_US
dc.subject.keywordDirectional forecastsen_US
dc.subject.keyworddirectional accuracyen_US
dc.subject.keywordforecast evaluationen_US
dc.subject.keywordtesting independenceen_US
dc.subject.keywordcontingency tablesen_US
dc.subject.keywordbootstrapen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwKorrelationen_US
dc.subject.stwStatistischer Testen_US
dc.subject.stwQualitatives Verfahrenen_US
dc.subject.stwBootstrap-Verfahrenen_US
dc.subject.stwTheorieen_US
dc.titleTesting directional forecast value in the presence of serial correlationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn590227114en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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