07350015%2E2012%2E634354
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A real-time inflation forecast evaluation shows that averaging over many predictors in a model that at least allows for structural breaks in the error variance results in very
A set of simulation experiments was designed to uncover the size and power properties of bootstrap tests based on our proposed family of statistics, and to compare these properties
The line labeled test for bias before break point shows the p -values for tests using subsamples that begin in 1971 and end at the date shown on the horizontal axis.. The line
Let me raise three questions. The first two are related. 1) How powerful are the tests in detecting the possibility that the forecaster is using a single internally consistent,
It is important to establish whether the performance of the tests is related to some features of the data, such as different sampling frequencies, different levels of
We also consider size-adjusted power. Apart from the Cauchy case, the size distortions when fixed- b critical values are used were small for all of the tests except the MR/S test.
Correcting for finite sample bias in estimates of affine DTSMs has important implications for the estimated persistence of in- terest rates and for inference about policy
We use both large- T asymptotic analysis and exact finite sample results to propose a procedure to reduce the bias of k -class estimators that works particularly well when the
