论文标题
关于预测能力的混合动力测试的尺寸控制
On the Size Control of the Hybrid Test for Predictive Ability
论文作者
论文摘要
我们分析了混合测试的理论特性，以提供出色的可预测性。我们以一个简单的例子证明，该测试可能不会在普通使用的显着性水平上渐近$α$渐近，并且当显着性水平$α$为$ 5 \％$时，可能会导致拒绝率超过$ 11 \％$。概括这一观察结果，我们提供了一个形式上的结果，即在合理条件下的环境中，混合测试的渐近无效性持续存在。作为一种简单的替代方法，我们提出了基于广义力矩选择方法的改进的混合测试，并表明修饰的测试具有偶然的渐近有效性。蒙特卡洛模拟支持理论发现。
We analyze theoretical properties of the hybrid test for superior predictability. We demonstrate with a simple example that the test may not be pointwise asymptotically of level $α$ at commonly used significance levels and may lead to rejection rates over $11\%$ when the significance level $α$ is $5\%$. Generalizing this observation, we provide a formal result that pointwise asymptotic invalidity of the hybrid test persists in a setting under reasonable conditions. As an easy alternative, we propose a modified hybrid test based on the generalized moment selection method and show that the modified test enjoys pointwise asymptotic validity. Monte Carlo simulations support the theoretical findings.
