Conditional superior predictive ability

• Main Authors: LI, Jia, LIAO, Zhipeng, QUAEDVLIEG, Rogier
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2022
• Subjects: conditional moment inequality; forecast evaluation; inflation; intersection bounds; machine learning; volatility.; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2579; https://ink.library.smu.edu.sg/context/soe_research/article/3578/viewcontent/SSRN_id3536461.pdf
• Institution: Singapore Management University

This article proposes a test for the conditional superior predictive ability (CSPA) of a family of forecasting methods with respect to a benchmark. The test is functional in nature: under the null hypothesis, the benchmark’s conditional expected loss is no more than those of the competitors, uniform...