Forecast evaluation methods: A Monte Carlo investigation and an application to the predictability of interest rates

by Frank Undorf

Master's Thesis from the year 2017 in the subject Economics - Statistics and Methods, grade: 1,0, University of Cologne (Institut f r konometrie und Statistik), language: English, abstract: This thesis overviews selected forecast evaluation tests and attempts to link the concept of testing equal mean squared error and forecast encompassing within a common simple regression framework. A Monte Carlo analysis provides size and power properties for both...

• Format: Paperback
• Language: English
• ISBN: 3668792488
• ISBN13: 9783668792487
• Release Date: October 2018
• Publisher: Grin Verlag
• Length: 68 Pages
• Weight: 0.22 lbs.
• Dimensions: 0.2" x 5.8" x 8.3"