Forecast evaluation tests and negative long-run variance estimates in small samples
In this paper, we show that when computing standard Diebold-Mariano-type tests for equal forecast accuracy and forecast encompassing, the long-run variance can frequently be negative when dealing with multi-step-ahead predictions in small, but empirically relevant, sample sizes. We subsequently cons...
| Main Authors: | , , |
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| Format: | Article |
| Published: |
Elsevier
2017
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/43017/ |