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Publication Detailed Description
Journal Title
Journal of Time Series Analysis
Year (definitive publication)
2016
Language
English
Country
United States of America
More Information
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Abstract
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.
Acknowledgements
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Keywords
Non-monotonic power,Structural change,Forecasts,Long-run variance
Fields of Science and Technology Classification
- Mathematics - Natural Sciences
Funding Records
| Funding Reference | Funding Entity |
|---|---|
| UID/GES/00315/2013 | Fundação para a Ciência e a Tecnologia |
