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dc.contributor.authorHubrich, Kirstinen_US
dc.contributor.authorWest, Kennethen_US
dc.date.accessioned2010-08-11T09:02:14Z-
dc.date.available2010-08-11T09:02:14Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/37160-
dc.description.abstractWe propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the benchmark. Our procedures compare the benchmark to all the alternative models simultaneously rather than sequentially, and do not require reestimation of models as part of a bootstrap procedure. Both procedures adjust MSPE differences in accordance with Clark and West (2007); one procedure then examines the maximum tstatistic, the other computes a chi-squared statistic. Our simulations examine the proposed procedures and two existing procedures that do not adjust the MSPE differences: a chi-squared statistic, and White's (2000) reality check. In these simulations, the two statistics that adjust MSPE differences have most accurate size, and the procedure that looks at the maximum t-statistic has best power. We illustrate our procedures by comparing forecasts of different models for U.S. inflation.en_US
dc.language.isoengen_US
dc.publisherVerein für Socialpolitik Frankfurt a. M.en_US
dc.relation.ispartofseriesBeiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Macroeconomic Modeling and Forecasting Performance D11-V3en_US
dc.subject.jelC53en_US
dc.subject.jelC52en_US
dc.subject.jelE31en_US
dc.subject.ddc330en_US
dc.subject.keywordOut-of-sampleen_US
dc.subject.keywordpredictionen_US
dc.subject.keywordtestingen_US
dc.subject.keywordmultiple model comparisonsen_US
dc.subject.keywordinflation forecastingen_US
dc.titleForecast Evaluation of Small Nested Model Setsen_US
dc.typeConference Paperen_US
dc.identifier.ppn655604537-
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie

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