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APPROXIMATELY NORMAL TESTS FOR EQUAL PREDICTIVE ACCURACY IN NESTED MODELS



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Clark and West March 2006 APPROXIMATELY NORMAL TESTS FOR EQUAL PREDICTIVE ACCURACY IN NESTED MODELS This appendix presents results omitted from the paper to save space Labels giving nominal size should generally be interpreted as indexing the critical value used nominal size of 5 for example means a critical value of 1 645 See the paper and the notes to the Tables for example note 5 to Table 1 for more precise interpretation of nominal size Appendix Table 1 Bootstrap Size 1 Step Ahead Forecasts Nominal Size 10 A Rolling Regressions MSPE adjusted bootstrap MSPE bootstrap CCS bootstrap P 120 0 102 0 103 0 099 1 DGP 1 R 120 P 240 P 360 0 103 0 101 0 104 0 104 0 102 0 096 P 720 0 106 0 104 0 103 P 120 0 092 0 095 0 099 2 DGP 1 R 240 P 240 P 360 0 090 0 090 0 094 0 095 0 106 0 097 P 720 0 094 0 096 0 101 MSPE adjusted bootstrap MSPE bootstrap CCS bootstrap P 40 0 094 0 106 0 124 3 DGP 2 R 80 P 80 P 120 0 098 0 099 0 112 0 112 0 111 0 111 P 160 0 096 0 111 0 104 P 40 0 091 0 098 0 124 4 DGP 2 R 120 P 80 P 120 0 093 0 093 0 104 0 103 0 113 0 111 P 160 0 093 0 100 0 103 B Recursive Regressions MSPE adjusted bootstrap MSPE bootstrap CCS bootstrap P 120 0 104 0 101 0 098 1 DGP 1 R 120 P 240 P 360 0 100 0 098 0 099 0 099 0 101 0 102 P 720 0 097 0 091 0 098 P 120 0 092 0 095 0 101 2 DGP 1 R 240 P 240 P 360 0 094 0 092 0 097 0 093 0 101 0 102 P 720 0 098 0 101 0 099 MSPE adjusted bootstrap MSPE bootstrap CCS bootstrap P 40 0 087 0 100 0 127 3 DGP 2 R 80 P 80 P 120 0 096 0 093 0 109 0 105 0 114 0 113 P 160 0 093 0 102 0 103 P 40 0 088 0 100 0 126 4 DGP 2 R 120 P 80 P 120 0 093 0 096 0 105 0 109 0 114 0 110 P 160 0 089 0 101 0 105 Appendix Table 2 Bootstrap Size DGP 1 with Heteroskedasticity 1 Step Ahead Forecasts R 120 Nominal Size 10 A Rolling Regressions MSPE adjusted bootstrap MSPE bootstrap CCS bootstrap P 120 0 099 0 102 0 098 1 GARCH P 240 P 360 0 093 0 099 0 097 0 103 0 094 0 094 P 720 0 101 0 100 0 097 P 120 0 109 0 125 0 058 2 Multiplicative P 240 P 360 0 108 0 100 0 132



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