Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/71245
Authors: 
Kunst, Robert M.
Year of Publication: 
2003
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 130
Abstract: 
Tests for relative predictive accuracy have become a widespread addendum to forecast comparisons. Many empirical research reports conclude that the difference between the entertained forecasting models is 'insignificant'. This paper collects arguments that cast doubt on the usefulness of relative predictive accuracy tests. The main point is not that test power is too low but that their application is conceptually mistaken. The features are highlighted by means of some Monte Carlo experiments for simple time-series decision problems.
Subjects: 
information criteria
forecasting
hypothesis testing
JEL: 
C12
C32
C53
Document Type: 
Working Paper

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