Forecast Rationality Tests Based on Multi-Horizon Bounds
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چکیده
منابع مشابه
Comment on 'forecast Rationality Tests Based on Multi-horizon Bounds'
I enjoyed reading yet another paper by Patton and Timmermann (PT hereinafter) and feel that it has broken new ground in testing the rationality of a sequence of multi-horizon fixed target forecasts. Rationality tests are not new in the forecasting literature, but the idea of testing the monotonicity properties of second moment bounds across several horizons is novel and can suggest possible sou...
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Forecast rationality under squared error loss implies various bounds on second moments of the data across forecast horizons. For example, the mean squared forecast error should be increasing in the horizon, and the mean squared forecast should be decreasing in the horizon. We propose rationality tests based on these restrictions, including new ones that can be conducted without data on the targ...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2012
ISSN: 0735-0015,1537-2707
DOI: 10.1080/07350015.2012.634337