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Second order bias in a forecast evaluation statistic (in Russian)

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  • Victor Kitov

    (Moscow State University, Moscow, Russia)

Abstract

We derive the second order asymptotic bias for a statistic evaluating the quality of out-of-sample forecasts by parametric models. The existing literature admits that the quality of the first order asymptotic approximation may be unsatisfactory. We find that the second order asymptotic bias allows one to explain insufficient precision of the asymptotic approximation. Simulations confirm the obtained analytical results.

Suggested Citation

  • Victor Kitov, 2009. "Second order bias in a forecast evaluation statistic (in Russian)," Quantile, Quantile, issue 6, pages 77-91, March.
    • Handle: RePEc:qnt:quantl:y:2009:i:6:p:77-91
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    References listed on IDEAS

    as
    1. West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-1084, September.
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