Regression-Based Tests of Predictive Ability
开发了基于回归的假设检验方法，用于检验样本外预测误差的均值是否为零、预测误差与预测因子是否相关，并解决了参数估计带来的误差问题，通过模拟验证了方法的有效性。
helpful comments, and the National Science Foundation and the Graduate School We develop regression-based tests of hypotheses about out of sample prediction errors. Representative tests include ones for zero mean and zero correlation between a prediction error and a vector of predictors. The relevant environments are ones in which predictions depend on estimated parameters. We show that standard regression statistics generally fail to account for error introduced by estimation of these parameters. We propose computationally convenient test statistics that properly account for such error. Simulations indicate that the procedures can work well in samples of size typically available, although there sometimes are substantial size distortions.