Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference
收藏NBER2005-01-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/t0305
下载链接
链接失效反馈官方服务：
资源简介：
We consider using out-of-sample mean squared prediction errors (MSPEs) to evaluate the null that a given series follows a zero mean martingale difference against the alternative that it is linearly predictable. Under the null of no predictability, the population MSPE of the null "no change" model
提供机构：
美国国家经济研究局
创建时间：
2005-01-01
