Testing Predictive Ability and Power Robustification
提出一种混合方法，通过结合单侧上确界检验与互补检验来稳健化预测能力检验的功效，并应用于技术指标预测股票收益的分析。
One of the approaches to compare forecasting methods is to test whether the risk from a benchmark prediction is smaller than the others. The test can be embedded into a general problem of testing inequality constraints using a one-sided sup functional. Hansen showed that such tests suffer from asymptotic bias. This article generalizes this observation, and proposes a hybrid method to robustify the power properties by coupling a one-sided sup test with a complementary test. The method can also be applied to testing stochastic dominance or moment inequalities. Simulation studies demonstrate that the new test performs well relative to the existing methods. For illustration, the new test was applied to analyze the forecastability of stock returns using technical indicators employed by White.