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
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
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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