Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87277
Authors: 
Mesters, Geert
Koopman, Siem Jan
Year of Publication: 
2012
Series/Report no.: 
Tinbergen Institute Discussion Paper 12-110/III
Abstract: 
We study the forecasting of the yearly outcome of the Boat Race between Cambridge and Oxford. We compare the relative performance of different dynamic models for forty years of forecasting. Each model is defined by a binary density conditional on a latent signal that is specified as a dynamic stochastic process with fixed predictors. The out-of-sample predictive ability of the models is compared between each other by using a variety of loss functions and predictive ability tests. We find that the model with its latent signal specified as an autoregressive process cannot be outperformed by the other specifications. This model is able to correctly forecast 30 out of 40 outcomes of the Boat Race.
Subjects: 
Binary time series
Predictive ability
Non-Gaussian state space model
JEL: 
C32
C35
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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