“Go Wild for a While!”: A New Test for Forecast Evaluation in Nested Models

Keyphrases

• Forecast Evaluation 100%
• Nested Models 100%
• Monte Carlo Simulation 50%
• Size Distortion 50%
• Encompassing Test 50%
• Out-of-sample Performance 50%
• Asymptotically Normal 50%
• Simple Modification 50%
• Commodity Currencies 50%
• Independent Random Variables 50%
• Equal Predictive Ability 50%
• Parameter Estimation Uncertainty 50%
• Normal Test 50%
• Multi-step Ahead Prediction 50%
• Parameter Effect 50%

INIS

• size 100%
• power 100%
• simulation 100%
• evaluation 100%
• hypothesis 50%
• modifications 50%
• applications 50%
• randomness 50%
• commodities 50%
• monte carlo method 50%

Mathematics

• Nested Model 100%
• Edge 50%
• Parameter Estimation 50%
• Normal Test 50%
• Independent Random Variables 50%
• Predictive Ability 50%
• Simple Modification 50%
• Monte Carlo Method 50%