Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2012-10-23
Number: 12-110/III
Author-Name: Geert Mesters
Author-Workplace-Name: VU University Amsterdam
Author-Name: Siem Jan Koopman
Author-Workplace-Name: VU University Amsterdam
Title: A Forty Year Assessment of Forecasting the Boat Race
Abstract: We study the forecasting of the yearly outcome of the Boat Race between Cambridge and Oxford. We compare the relative performance of different dynamic models for forty years of forecasting. Each model is defined by a binary density conditional on a latent signal that is specified as a dynamic stochastic process with fixed predictors. The out-of-sample predictive ability of the models is compared between each other by using a variety of loss functions and predictive ability tests. We find that the model with its latent signal specified as an autoregressive process cannot be outperformed by the other specifications. This model is able to correctly forecast 30 out of 40 outcomes of the Boat Race.
Classification-JEL: C32, C35
Keywords: Binary time series, Predictive ability, Non-Gaussian state space model
File-Url: https://papers.tinbergen.nl/12110.pdf
File-Format: application/pdf
File-Size: 452872 bytes
Handle: RePEc:tin:wpaper:20120110