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Abstract Details
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Activity Number:
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302
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Type:
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Contributed
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Date/Time:
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Tuesday, August 2, 2011 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #302715 |
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Title:
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Testing for Absence of Efficient Combination Gains
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Author(s):
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Pablo Pincheira*+
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Companies:
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Central Bank of Chile
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Address:
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Agustinas 1180, Third Floor, Santiago, International, 8320000 , Chile
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Keywords:
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Encompassing ;
Mean Squared Prediction Errors ;
Forecast Evaluation
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Abstract:
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Traditional encompassing tests evaluate if a combination between two forecasts is able to display lower MSPE than the best of the individual forecasts. Nevertheless, it is possible that reductions in MSPE are achieved at the cost of efficiency, which means that these reductions are not necessarily associated with greater forecasting power. In this article we develop a test to evaluate the null hypothesis of absence of efficient combination gains. Rejection of this null implies that it is possible to find a combination between two competing forecasts without paying an efficiency cost. We illustrate the use of this test in an empirical evaluation aimed at examining if efficient combination gains are possible when combining different inflation forecasts for the US and Chile.
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The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
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