.png){kind=icon}
返回
Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics
.png){kind=icon}
OA
AI
DOI：10.1002/jae.2756.png)
.png){kind=icon}
.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
SummaryWe consider fixed‐smoothing asymptotics for the Diebold and Mariano (Journal of Business and Economic Statistics, 1995,13(3), 253–263) test of predictive accuracy. We show that this approach delivers predictive accuracy tests that are correctly sized even when only a small number of out‐of‐sample observations is available. We apply the fixed‐smoothing asymptotics to the Diebold and Mariano test to evaluate the predictive accuracy of the Survey of Professional Forecasters (SPF) and of the European Central Bank Survey of Professional Forecasters (ECB SPF) against a simple random walk. Our results show that the predictive abilities of the SPF and of the ECB SPF were partially spurious.
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
暂无期刊信息
机构
暂无机构信息
引用论文
暂无论文信息