{"title":"ON THE SIZE CONTROL OF THE HYBRID TEST FOR SUPERIOR PREDICTIVE ABILITY","authors":"Deborah Kim","doi":"10.1017/s0266466623000130","DOIUrl":null,"url":null,"abstract":"This article analyzes the theoretical properties of the hybrid test for superior predictive ability. A simple example reveals that the test may not be size-controlled at common significance levels with rejection rates exceeding \n\n \n \n \n$11\\%$\n\n \n at a \n\n \n \n \n$5\\%$\n\n \n nominal level. Generalizing this observation, the main results show the pointwise asymptotic invalidity of the hybrid test under reasonable conditions. Monte Carlo simulations support these theoretical findings.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":" ","pages":""},"PeriodicalIF":1.0000,"publicationDate":"2023-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Theory","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1017/s0266466623000130","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
This article analyzes the theoretical properties of the hybrid test for superior predictive ability. A simple example reveals that the test may not be size-controlled at common significance levels with rejection rates exceeding
$11\%$
at a
$5\%$
nominal level. Generalizing this observation, the main results show the pointwise asymptotic invalidity of the hybrid test under reasonable conditions. Monte Carlo simulations support these theoretical findings.
Econometric TheoryMATHEMATICS, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY
CiteScore
1.90
自引率
0.00%
发文量
52
审稿时长
>12 weeks
期刊介绍：
Since its inception, Econometric Theory has aimed to endow econometrics with an innovative journal dedicated to advance theoretical research in econometrics. It provides a centralized professional outlet for original theoretical contributions in all of the major areas of econometrics, and all fields of research in econometric theory fall within the scope of ET. In addition, ET fosters the multidisciplinary features of econometrics that extend beyond economics. Particularly welcome are articles that promote original econometric research in relation to mathematical finance, stochastic processes, statistics, and probability theory, as well as computationally intensive areas of economics such as modern industrial organization and dynamic macroeconomics.
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