Evaluating Direct Multistep Forecasts
研究了嵌套回归模型中直接多步预测的等预测精度和包含性检验的渐近与有限样本性质，通过蒙特卡洛模拟评估检验的规模和功效，并重新检验了产能利用率对通胀的预测能力。
ABSTRACT This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy and encompassing applied to direct, multistep predictions from nested regression models. We first derive asymptotic distributions; these nonstandard distributions depend on the parameters of the data-generating process. We then use Monte Carlo simulations to examine finite-sample size and power. Our asymptotic approximation yields good size and power properties for some, but not all, of the tests; a bootstrap works reasonably well for all tests. The paper concludes with a reexamination of the predictive content of capacity utilization for inflation.