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Rogier QUAEDVLIEG (Erasmus University Rotterdam, Netherlands) "Conditional Superior Predictive Ability"
Date: 09th of May 2019
Place: Room 3001
Rogier QUAEDVLIEG (Erasmus University Rotterdam, Netherlands) “Conditional Superior Predictive Ability”
Abstract : This paper proposes tests for the conditional superior predictive ability (CSPA) of a family of forecast methods with respect to a benchmark method. The null hypothesis of the CSPA test asserts that the conditional expected loss of the benchmark is less than those of the competing forecasts uniformly across all conditioning states. Under the alternative, there exists some alternative forecast method that outperforms the benchmark in certain states. By inverting the CSPA tests for a set of benchmarks, we obtain confidence sets for the uniformly most superior model. The CSPA test is functional in nature, and we justify its validity using uniform nonparametric inference methods based on strong approximation. The usefulness of the proposed method is demonstrated in two empirical applications concerning volatility and inflation forecasts, respectively.
Joint work with Jia Li and Zhipeng Liao
Jean-Michel ZAKOIAN (CREST )
CREST and ILB
Address : ENSAE ParisTech
5, avenue Henry Le Chatelier
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