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- W3117598983 abstract "We investigate a test of conditional predictive ability described in Giacomini and White (2006; Econometrica). Our main goal is simply to demonstrate existence of the null hypothesis and, in doing so, clarify just how unlikely it is for this hypothesis to hold. We do so using a simple example of point forecasting under quadratic loss. We then provide simulation evidence on the size and power of the test. While the test can be accurately sized we find that power is typically low." @default.
- W3117598983 created "2021-01-05" @default.
- W3117598983 creator A5013357244 @default.
- W3117598983 date "2020-01-01" @default.
- W3117598983 modified "2023-09-23" @default.
- W3117598983 title "Tests of Conditional Predictive Ability: Existence, Size, and Power" @default.
- W3117598983 doi "https://doi.org/10.20955/wp.2020.050" @default.
- W3117598983 hasPublicationYear "2020" @default.
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