Testing Forecast Optimality under Unknown Loss.
Empirical tests of forecast optimality have traditionally been conducted under the assumption of mean squared error loss or some other known loss function. In this article we establish new testable properties that hold when the forecaster's loss function is unknown but testable restrictions can...
Main Authors: | Patton, A, Timmermann, A |
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Format: | Journal article |
Language: | English |
Published: |
American Statistical Association
2007
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