Asymptotic Inference about Predictive Ability
开发了在长时间序列预测中，对预测误差矩进行推断的方法，适用于非嵌套和非线性模型，并考虑了估计参数的影响。模拟表明方法在典型样本量下表现良好。
This paper develops procedures for inference about the moments of smooth functions of out-of-sample predictions and prediction errors when there is a long time series of predictions and realizations. The aim is to provide tools for analysis of predictive accuracy and efficiency and, more generally, of predictive ability. The paper allows for nonnested and nonlinear models as well as for possible dependence of predictions and prediction errors on estimated regression parameters. Simulations indicate that the procedures can work well in samples of size typically available. Copyright 1996 by The Econometric Society.