Arbeitspapier
Testing directional forecast value in the presence of serial correlation
Common 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2008,073
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
General Aggregative Models: Forecasting and Simulation: Models and Applications
Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
Money and Interest Rates: Forecasting and Simulation: Models and Applications
Trade: Forecasting and Simulation
International Finance Forecasting and Simulation: Models and Applications
Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation: Models and Applications
Portfolio Choice; Investment Decisions
Financial Forecasting and Simulation
- Thema
-
Directional forecasts
directional accuracy
forecast evaluation
testing independence
contingency tables
bootstrap
Prognoseverfahren
Zeitreihenanalyse
Korrelation
Statistischer Test
Qualitatives Verfahren
Bootstrap-Verfahren
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Blaskowitz, Oliver J.
Herwartz, Helmut
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:22 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Blaskowitz, Oliver J.
- Herwartz, Helmut
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2008
Ähnliche Objekte (12)
On the (nonlinear) relationship between exchange rate uncertainty and trade
Are GARCH innovations independent - a long term assessment for the S&P 500
The Determinants of Health Care Expenditure
Adaptive Forecasting of the EURIBOR Swap Term Structure
Time-Varying Market Price of Risk in the CAPM
Forecasting performance of market share attraction models
Exchange Rate Uncertainty and Trade Growth
On the (nonlinear) relationship between exchange rate uncertainty and trade: An investigation of US trade figures in the Group of Seven
Weekday dependence of German stock market returns
Modelling interaction patterns in a predator-prey system of two freshwater organisms in discrete time: an identified structural VAR approach
Moment Targeted Structural Innovations
Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device
On the (nonlinear) relationship between exchange rate uncertainty and trade
Are GARCH innovations independent - a long term assessment for the S&P 500
The Determinants of Health Care Expenditure
Adaptive Forecasting of the EURIBOR Swap Term Structure
Time-Varying Market Price of Risk in the CAPM
Forecasting performance of market share attraction models
Exchange Rate Uncertainty and Trade Growth
On the (nonlinear) relationship between exchange rate uncertainty and trade: An investigation of US trade figures in the Group of Seven
Weekday dependence of German stock market returns
Modelling interaction patterns in a predator-prey system of two freshwater organisms in discrete time: an identified structural VAR approach
Moment Targeted Structural Innovations
Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device
On the (nonlinear) relationship between exchange rate uncertainty and trade
Are GARCH innovations independent - a long term assessment for the S&P 500
The Determinants of Health Care Expenditure
Adaptive Forecasting of the EURIBOR Swap Term Structure
Time-Varying Market Price of Risk in the CAPM
Forecasting performance of market share attraction models
Exchange Rate Uncertainty and Trade Growth
On the (nonlinear) relationship between exchange rate uncertainty and trade: An investigation of US trade figures in the Group of Seven
Weekday dependence of German stock market returns
Modelling interaction patterns in a predator-prey system of two freshwater organisms in discrete time: an identified structural VAR approach
Moment Targeted Structural Innovations