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Full-Text Articles in Econometrics
Conditional Evaluation Of Predictive Models: The Cspa Command, Jia Li, Zhipeng Liao, Rogier Quaedvlieg, Wenyu Zhou
Conditional Evaluation Of Predictive Models: The Cspa Command, Jia Li, Zhipeng Liao, Rogier Quaedvlieg, Wenyu Zhou
Research Collection School Of Economics
In this article, we introduce a new command, cspa, that implements the conditional superior predictive ability test developed in Li, Liao, and Quaedvlieg (2022, Review of Economic Studies 89: 843–875). With the conditional performance of predictive methods measured nonparametrically by the conditional expectation functions of their predictive losses, we test the null hypothesis that a benchmark model weakly outperforms a collection of competitors uniformly across the conditioning space. The proposed command can implement this test for both independent cross-sectional data and serially dependent time-series data. Confidence sets for the most superior model can be obtained by inverting the test, for …
A General Test For Functional Inequalities, Jia Li, Zhipeng Liao, Wenyu Zhou
A General Test For Functional Inequalities, Jia Li, Zhipeng Liao, Wenyu Zhou
Research Collection School Of Economics
This paper develops a nonparametric test for general functional inequalities that include conditional moment inequalities as a special case. It is shown that the test controls size uniformly over a large class of distributions for observed data, importantly allowing for general forms of time series dependence. New results on uniform growing dimensional Gaussian coupling for general mixingale processes are developed for this purpose, which readily accommodate most applications in economics and finance. The proposed method is applied in a portfolio evaluation context to test for “all-weather” portfolios with uniformly superior conditional Sharpe ratio functions.
Conditional Superior Predictive Ability, Jia Li, Zhipeng Liao, Rogier Quaedvlieg
Conditional Superior Predictive Ability, Jia Li, Zhipeng Liao, Rogier Quaedvlieg
Research Collection School Of Economics
This article proposes a test for the conditional superior predictive ability (CSPA) of a family of forecasting methods with respect to a benchmark. The test is functional in nature: under the null hypothesis, the benchmark’s conditional expected loss is no more than those of the competitors, uniformly across all conditioning states. By inverting the CSPA tests for a set of benchmarks, we obtain confidence sets for the uniformly most superior method. The econometric inference pertains to testing conditional moment inequalities for time series data with general serial dependence, and we justify its asymptotic validity using a uniform non-parametric inference method …