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New Mse Tests For Evaluating Forecasting Performance: Empirics And Bootstrap

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  • Robledo, Carlos W.
  • Zapata, Hector O.
  • McCracken, Michael

Abstract

Two 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.

Suggested Citation

  • Robledo, Carlos W. & Zapata, Hector O. & McCracken, Michael, 2001. "New Mse Tests For Evaluating Forecasting Performance: Empirics And Bootstrap," 2001 Annual meeting, August 5-8, Chicago, IL 20686, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea01:20686
    DOI: 10.22004/ag.econ.20686
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    References listed on IDEAS

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