Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/25316 
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dc.contributor.authorBlaskowitz, Oliver J.en
dc.contributor.authorHerwartz, Helmuten
dc.date.accessioned2009-01-20-
dc.date.accessioned2009-07-23T15:15:12Z-
dc.date.available2009-07-23T15:15:12Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2008,073en
dc.subject.jelC32en
dc.subject.jelC52en
dc.subject.jelC53en
dc.subject.jelE17en
dc.subject.jelE27en
dc.subject.jelE47en
dc.subject.jelF17en
dc.subject.jelF37en
dc.subject.jelF47en
dc.subject.jelG11en
dc.subject.jelG17en
dc.subject.ddc330en
dc.subject.keywordDirectional forecastsen
dc.subject.keyworddirectional accuracyen
dc.subject.keywordforecast evaluationen
dc.subject.keywordtesting independenceen
dc.subject.keywordcontingency tablesen
dc.subject.keywordbootstrapen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwKorrelationen
dc.subject.stwStatistischer Testen
dc.subject.stwQualitatives Verfahrenen
dc.subject.stwBootstrap-Verfahrenen
dc.subject.stwTheorieen
dc.titleTesting directional forecast value in the presence of serial correlation-
dc.type|aWorking Paperen
dc.identifier.ppn590227114en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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