预测能力优越的混合测试的规模控制

IF 1 4区经济学 Q3 ECONOMICS Econometric Theory Pub Date : 2023-05-02 DOI:10.1017/s0266466623000130

Deborah Kim

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引用次数: 0

摘要

本文分析了混合试验具有较强预测能力的理论特性。一个简单的例子表明，在通常的显著性水平上，测试可能无法控制大小，在5%的名义水平上，拒绝率超过11%。推广这一观察结果，主要结果表明混合检验在合理条件下的逐点渐近无效。蒙特卡罗模拟支持这些理论发现。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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ON THE SIZE CONTROL OF THE HYBRID TEST FOR SUPERIOR PREDICTIVE ABILITY

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.

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来源期刊

Econometric Theory MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

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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