Suppose we have forecasts from two models, Model A and Model B, respectively denoted by ŷ, a and ŷ,B, where t = R+1,.,T, and where R is the size of the estimation windows and T is the length of the time series. The realised values of the time series are denoted by y. The forecast errors are, respectively, given by ea and erB. Which of the following frameworks is not a specification that would allow us to test the forecast encompassing hypothesis: Framework A — е,л — а(е,A — е, в) + €r Framework B=eA = BýB + Vt Framework C = Y = Yo + Y1ŷt,a + Y½ŷt‚B+V½ Framework D =→ Y = 8o + 81e4,aA+ 8zet̟B + §t

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Suppose we have forecasts from two models, Model A and Model B, respectively denoted by ŷ A and ŷiB, where t = R+1,..., T, and where R is the size of the
estimation windows and T is the length of the time series. The realised values of the time series are denoted by Yt. The forecast errors are, respectively, given by et A and
et.B. Which of the following frameworks is not a specification that would allow us to test the forecast encompassing hypothesis:
Framework A=eA = a(e1,A – et,B) + Et
Framework B=eA = Bŷt,B+Vt
Framework C =→ Y = Yo + Y1ŷt,A + Y2ŷt‚B+V½
Framework D =→ Y = 8o + 81et,A+ S2et,B+&
O Framework C
O None of the presented possible answers are correct.
O Framework D
O Framework B
O Framework A
Transcribed Image Text:Suppose we have forecasts from two models, Model A and Model B, respectively denoted by ŷ A and ŷiB, where t = R+1,..., T, and where R is the size of the estimation windows and T is the length of the time series. The realised values of the time series are denoted by Yt. The forecast errors are, respectively, given by et A and et.B. Which of the following frameworks is not a specification that would allow us to test the forecast encompassing hypothesis: Framework A=eA = a(e1,A – et,B) + Et Framework B=eA = Bŷt,B+Vt Framework C =→ Y = Yo + Y1ŷt,A + Y2ŷt‚B+V½ Framework D =→ Y = 8o + 81et,A+ S2et,B+& O Framework C O None of the presented possible answers are correct. O Framework D O Framework B O Framework A
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