Conditional superior predictive ability
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...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2022
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |