arXiv 5 Aug 2020 · Econometrics
arXiv:2008.02318 · PDF · DOI · OpenAlex · Extracted main text
We analyze theoretical properties of the hybrid test for superior predictability. We demonstrate with a simple example that the test may not be pointwise asymptotically of level $\alpha$ at commonly used significance levels and may lead to rejection rates over $11%$ when the significance level $\alpha$ is $5%$. Generalizing this observation, we provide a formal result that pointwise asymptotic invalidity of the hybrid test persists in a setting under reasonable conditions. As an easy alternative, we propose a modified hybrid test based on the generalized moment selection method and show that the modified test enjoys pointwise asymptotic validity. Monte Carlo simulations support the theoretical findings.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Song (2012) `Testing predictive ability and power robustification', Journal of Business & Economic Statistics 30(2), 288–296 | 1.000 | 12 | 5 | 100% |
| 2 | Hansen (2005) `A test for superior predictive ability', Journal of Business & Economic Statistics 23(4), 365–380 | 1.000 | 9 | 4 | 100% |
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| 4 | Canay \ Shaikh (2017) Practical and Theoretical Advances in Inference for Partially Identified Models, Vol. 2, Cambridge University Press, pp. 271–306 | 0.843 | 4 | 3 | 75% |
| 5 | Andrews \ Soares (2010) `Inference for parameters defined by moment inequalities using generalized moment selection', Econometrica 78(1), 119–157 | 0.825 | 16 | 5 | 56% |
| 6 | Li, Liao \ Quaedvlieg (2021) `Conditional Superior Predictive Ability', The Review of Economic Studies | 0.405 | 1 | 1 | 100% |
| 7 | Politis \ Romano (1994) `The stationary bootstrap', Journal of the American Statistical association 89(428), 1303–1313 | 0.405 | 1 | 1 | 100% |
| 8 | Bugni (2010) `Bootstrap inference in partially identified models defined by moment inequalities: Coverage of the identified set', Econometric… | 0.405 | 1 | 1 | 100% |
| 9 | Canay (2010) `El inference for partially identified models: Large deviations optimality and bootstrap validity', Journal of Econometrics 156(… | 0.405 | 1 | 1 | 100% |
| 10 | Linton, Maasoumi \ Whang (2005) `Consistent Testing for Stochastic Dominance under General Sampling Schemes', The Review of Economic Studies 72(3), 735–765 | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 14 scored citations.