Equivalence Between Out-of-Sample Forecast: Comparisons and Wald statistics

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dc.contributor.author HANSEN, Peter Reinhard
dc.contributor.author TIMMERMANN, Allan
dc.date.accessioned 2012-11-05T16:27:33Z
dc.date.available 2012-11-05T16:27:33Z
dc.date.issued 2012
dc.identifier.issn 1725-6704
dc.identifier.uri http://hdl.handle.net/1814/24275
dc.description.abstract We establish the equivalence between a commonly used out-of-sample test of equal predictive accuracy and the difference between two Wald statistics. This equivalence greatly simplifies the computational burden of calculating recursive out-of-sample tests and evaluating their critical values. Our results shed new light on many aspects of the test and establishes certain weaknesses associated with using out-of-sample forecast comparison tests to conduct inference about nested regression models. en
dc.language.iso en en
dc.relation.ispartofseries EUI ECO en
dc.relation.ispartofseries 2012/24 en
dc.title Equivalence Between Out-of-Sample Forecast: Comparisons and Wald statistics en
dc.type Working Paper en
dc.neeo.contributor HANSEN|Peter Reinhard|aut|EUI70016
dc.neeo.contributor TIMMERMANN|Allan|aut|


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