Division of Research and Statistics
Board of Governors of the Federal Reserve System
20th & Constitution Ave NW
Washington, DC 20551
Institutional Affiliation: Federal Reserve Board
Information about this author at RePEc
NBER Working Papers and Publications
|September 2012||Comment on "Global House Price Fluctuations: Synchronization and Determinants"|
in NBER International Seminar on Macroeconomics 2012, Francesco Giavazzi and Kenneth D. West, organizers
|December 2008||Forecast Evaluation of Small Nested Model Sets|
with : w14601
We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the benchmark. Our procedures compare the benchmark to all the alternative models simultaneously rather than sequentially, and do not require reestimation of models as part of a bootstrap procedure. Both procedures adjust MSPE differences in accordance with Clark and West (2007); one procedure then examines the maximum t-statistic, the other computes a chi-squared statistic. Our simulations examine the proposed procedures and two existing procedures that do not adjust the MSPE differences: a chi-squared statistic, and White's (2000) reality check. In these simulations, the two statistics that adjust MSPE differences have m...
Published: Kirstin Hubrich & Kenneth D. West, 2010.
"Forecast evaluation of small nested model sets,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 25(4), pages 574-594.
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