out of sample test, ENC NEW
Posted: Thu Aug 06, 2009 2:28 pm
hi,
does anyone know how to choose the critical value for ENC-NEW test?
I hv been reading the literature written by Clark and McCracken (2000) "Test of Equal Forecast Accuracy and Encompassing for Nested Models". but, i still hv no idea abt the table. there is k2 (no. of independent regressors?), and pi in the table. i dut know whts those 2 related?
In addition, the out of sample test forecast error, we base on the historical mean or we do the regression of y on alpha hat (given the regression
y(t+1)=alpha + beta x(t)+u(t) ), alpha hat is measured when we set beta =0.
Thank you so much!!! reli need ur help for my project!!!! :D :D
does anyone know how to choose the critical value for ENC-NEW test?
I hv been reading the literature written by Clark and McCracken (2000) "Test of Equal Forecast Accuracy and Encompassing for Nested Models". but, i still hv no idea abt the table. there is k2 (no. of independent regressors?), and pi in the table. i dut know whts those 2 related?
In addition, the out of sample test forecast error, we base on the historical mean or we do the regression of y on alpha hat (given the regression
y(t+1)=alpha + beta x(t)+u(t) ), alpha hat is measured when we set beta =0.
Thank you so much!!! reli need ur help for my project!!!! :D :D