Testing the equality of prediction mean squared errors

被引：1053

作者：

Harvey, D ^{[1
]}

Leybourne, S ^{[1
]}

Newbold, P ^{[1
]}

机构：

[1] UNIV NOTTINGHAM,DEPT ECON,NOTTINGHAM NG7 2RD,ENGLAND

来源：

INTERNATIONAL JOURNAL OF FORECASTING | 1997年 / 13卷 / 02期

关键词：

comparing forecasts; correlated forecast errors; evaluation of forecasts; non-normality;

D O I：

10.1016/S0169-2070(96)00719-4

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Given two sources of forecasts of the same quantity, it is possible to compare prediction records. In particular, it can be useful to test the hypothesis of equal accuracy in forecast performance. We analyse the behaviour of two possible tests, and of modifications of these tests designed to circumvent shortcomings in the original formulations. As a result of this analysis, a recommendation for one particular testing approach is made for practical applications. (C) 1997 Elsevier Science B.V.

引用

页码：281 / 291

页数：11

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