Nonparametric Tests For Bias In Estimates And Forecasts

Nonparametric tests can be made for bias in estimate and forecast errors without assuming identical and independent distributions. Tests are created for bias in the median and the mean. The test for median bias is a form of the familiar Sign Test for the median. For mean bias, an asymptotically normal test statistic is derived from the mean algebraic percentage error. These statistics are then applied to cross-sectional and time series contexts.

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