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Results 1 - 10
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18,231
Tests of conditional predictive ability
- Econometrica
, 2006
"... We argue that the current framework for predictive ability testing (e.g.,West, 1996) is not necessarily useful for real-time forecast selection, i.e., for assessing which of two competing forecasting methods will perform better in the future. We propose an alternative framework for out-of-sample com ..."
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Cited by 113 (1 self)
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We argue that the current framework for predictive ability testing (e.g.,West, 1996) is not necessarily useful for real-time forecast selection, i.e., for assessing which of two competing forecasting methods will perform better in the future. We propose an alternative framework for out
A Test for Superior Predictive Ability.
- Journal of Business & Economic Statistics
, 2005
"... We propose a new test for superior predictive ability. The new test compares favorably to the reality check (RC) for data snooping, because it is more powerful and less sensitive to poor and irrelevant alternatives. The improvements are achieved by two modifications of the RC. We use a studentized ..."
Abstract
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Cited by 143 (4 self)
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We propose a new test for superior predictive ability. The new test compares favorably to the reality check (RC) for data snooping, because it is more powerful and less sensitive to poor and irrelevant alternatives. The improvements are achieved by two modifications of the RC. We use a studentized
discriminative and predictive ability in the
"... FRAXW tool, the WHO algorithm to predict osteoporotic fractures: the first analysis of its discriminative and predictive ability in the Spanish FRIDEX cohort Azagra et al. Azagra et al. BMC Musculoskeletal Disorders 2012, 13:204 ..."
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FRAXW tool, the WHO algorithm to predict osteoporotic fractures: the first analysis of its discriminative and predictive ability in the Spanish FRIDEX cohort Azagra et al. Azagra et al. BMC Musculoskeletal Disorders 2012, 13:204
Predictive Ability with Cointegrated Variables
- Journal of Econometrics
, 2001
"... In this paper we outline conditions under which the Diebold and Mariano (DM: 1995) test for predictive ability can be extended to the case of two forecasting models, each of which may include cointegrating relations, when allowing for parameter estimation error. We show that in the cases where eithe ..."
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Cited by 24 (7 self)
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In this paper we outline conditions under which the Diebold and Mariano (DM: 1995) test for predictive ability can be extended to the case of two forecasting models, each of which may include cointegrating relations, when allowing for parameter estimation error. We show that in the cases where
2003), Prediction Ability
- Review of Economic Dynamics
"... This paper models managerial human capital as the ability to predict future events. My assignment model shows that a manager who has high prediction ability goes into a risky industry, because risk increases the marginal produc-tivity of prediction ability. This conclusion contrasts with that of Luc ..."
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Cited by 8 (7 self)
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This paper models managerial human capital as the ability to predict future events. My assignment model shows that a manager who has high prediction ability goes into a risky industry, because risk increases the marginal produc-tivity of prediction ability. This conclusion contrasts
Regression-Based Tests of Predictive Ability
- International Economic Review
, 1998
"... helpful comments, and the National Science Foundation and the Graduate School We develop regression-based tests of hypotheses about out of sample prediction errors. Representative tests include ones for zero mean and zero correlation between a prediction error and a vector of predictors. The relevan ..."
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Cited by 74 (10 self)
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helpful comments, and the National Science Foundation and the Graduate School We develop regression-based tests of hypotheses about out of sample prediction errors. Representative tests include ones for zero mean and zero correlation between a prediction error and a vector of predictors
Constrained model predictive control: Stability and optimality
- AUTOMATICA
, 2000
"... Model predictive control is a form of control in which the current control action is obtained by solving, at each sampling instant, a finite horizon open-loop optimal control problem, using the current state of the plant as the initial state; the optimization yields an optimal control sequence and t ..."
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Cited by 738 (16 self)
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Model predictive control is a form of control in which the current control action is obtained by solving, at each sampling instant, a finite horizon open-loop optimal control problem, using the current state of the plant as the initial state; the optimization yields an optimal control sequence
Predictive Ability (Testing); *Reading Ability;
"... This bibliography on the prediction of college grades from reading scores includes books, government documents, journals and periodicals from the late 192 0's to the early 1970's. Most of the materials are directly related to the problems of reading ability and academic performance. Howeve ..."
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This bibliography on the prediction of college grades from reading scores includes books, government documents, journals and periodicals from the late 192 0's to the early 1970's. Most of the materials are directly related to the problems of reading ability and academic performance
The performance of mutual funds in the period 1945-1964
- JOURNAL OF FINANCE
, 1968
"... In this paper I derive a risk-adjusted measure of portfolio performance (now known as "Jensen's Alpha") that estimates how much a manager's forecasting ability contributes to the fund's returns. The measure is based on the theory of the pricing of capital assets by Sharpe (1 ..."
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Cited by 615 (1 self)
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(1964), Lintner (1965a) and Treynor (Undated). I apply the measure to estimate the predictive ability of 115 mutual fund managers in the period 1945-1964—that is their ability to earn returns which are higher than those we would expect given the level of risk of each of the portfolios. The foundations
Predictive Ability (Testing); Predictive Measurement;
"... The available objective evidence suggests that the accuracy of predicting which students will succeed in a particular graduate school is often no better than modest, especially if such predictions are based only upon a test or a grade record. Taken together these two types of predictors do a reasona ..."
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The available objective evidence suggests that the accuracy of predicting which students will succeed in a particular graduate school is often no better than modest, especially if such predictions are based only upon a test or a grade record. Taken together these two types of predictors do a
Results 1 - 10
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18,231
