Does Statistical Significance Help to Evaluate Predictive Performance of Competing Models?
In Monte Carlo experiment with simulated data, we show that as a point forecast criterion, the Clark and West's (2006) unconditional test of mean squared prediction errors does not reflect the relative performance of a superior model over a relatively weaker one. The simulation results show tha...
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| Format: | Article |
| Language: | English |
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Tripal Publishing House
2017-06-01
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| Series: | Journal of Economics and Financial Analysis |
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| Online Access: | http://ojs.tripaledu.com/jefa/article/download/3/1 |