NEW MSE TESTS FOR EVALUATING FORECASTING PERFORMANCE: EMPIRICS AND BOOTSTRAP

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dc.creatorRobledo, Carlos W.
dc.creatorZapata, Hector O.
dc.creatorMcCracken, Michael
dc.date2017-04-01T19:59:12Z
dc.date.accessioned2026-07-09T03:32:32Z
dc.descriptionTwo asymptotically valid out-of-sample MSE tests have been developed by Diebold-Mariano (1995) and Stock-Watson (1999). The empirical usefulness of the tests is illustrated through a U.S. wheat model estimated with fixed, recursive and rolling forecasting schemes. Bootstrap methods are adopted to reflect small sample size effect on tests.
dc.identifierdoi:10.22004/ag.econ.20686
dc.identifierhttps://ageconsearch.umn.edu/record/20686/files/sp01ro05.pdf
dc.identifierhttp://ageconsearch.umn.edu/record/20686
dc.identifier.urihttp://hdl.handle.net/123456789/534649
dc.languageeng
dc.publisher
dc.sourcehttp://ageconsearch.umn.edu/record/20686
dc.titleNEW MSE TESTS FOR EVALUATING FORECASTING PERFORMANCE: EMPIRICS AND BOOTSTRAP
dc.typeText

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