English
Ciência-IUL
Publicações
Descrição Detalhada da Publicação
Título Revista
Journal of Time Series Analysis
Ano (publicação definitiva)
2016
Língua
Inglês
País
Estados Unidos da América
Mais Informação
Web of Science®
Scopus
Google Scholar
Abstract/Resumo
Of interest is comparing the out-of-sample forecasting performance of two competing models in the presence of possible instabilities. To that effect, we suggest using simple structural change tests, sup-Wald and UDmax for changes in the mean of the loss differences. It is shown that Giacomini and Rossi (2010) tests have undesirable power properties, power that can be low and non-increasing as the alternative becomes further from the null hypothesis. On the contrary, our statistics are shown to have higher monotonic power, especially the UDmax version. We use their empirical examples to show the practical relevance of the issues raised.
Agradecimentos/Acknowledgements
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Palavras-chave
Non-monotonic power,Structural change,Forecasts,Long-run variance
Classificação Fields of Science and Technology
- Matemáticas - Ciências Naturais
Registos de financiamentos
| Referência de financiamento | Entidade Financiadora |
|---|---|
| UID/GES/00315/2013 | Fundação para a Ciência e a Tecnologia |
