| Article ID: | iaor20012575 |
| Country: | United Kingdom |
| Volume: | 18 |
| Issue: | 6 |
| Start Page Number: | 435 |
| End Page Number: | 445 |
| Publication Date: | Nov 1999 |
| Journal: | International Journal of Forecasting |
| Authors: | Newbold Paul, Harvey David I., Leybourne Stephen J. |
We consider tests for the equality of prediction mean squared errors and for forecast encompassing. It is shown that, if forecast errors exhibit ARCH, size distortions are induced in the usual tests. Adjusted test statistics are suggested to alleviate this problem.