過濾自體抽樣預測績效檢定量

A Sieve Bootstrap Test for Predictive Ability

10.6277/ter.2006.343.3

欉清全(Ching-Chuan Tsong)；李政峰(Cheng-Feng Lee)；郭炳伸(Biing-Shen Kuo)

預測準確性檢定 ； 預測涵蓋檢定 ； 過濾自體抽樣 ； forecast accuracy test ； forecast encompassing test ； sieve bootstrap

經濟論文叢刊

34卷3期（2006 / 09 / 01）

317 - 334

繁體中文

預測準確性與預測涵蓋性檢定同是評估預測績效的有效方法。欉清全等(2005)提出一種新的檢定程序，建構出AR-tc統計量並導出其漸近分配。該程序雖然計算容易，但在樣本外預測個數有限時，隨預測期間的增長，AR-tc存在型一誤差扭曲的問題。本文提出一種自體抽樣程序用以估計AR-tc統計量的小樣本分配，冀以改善型一誤差扭曲的問題。我們提供該程序正確性的證明。模擬結果的確顯示，該程序可以有效改善統計量的錯誤拒絕比率，同時具有不錯的檢力表現。

The easy-to-implement AR-tc tests for forecast accuracy and encompassing proposed by Tsong, Lee and Kuo (2005) are subject to considerable size distortions in a finite sample. The problem tends to increase as the forecast horizon increases. A sieve bootstrap scheme for the tests is thus suggested and found by simulation to have excellent control over the size under the null. The validity of the bootstrap tests is justified in an asymptotic sense.

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