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dc.contributor.authorHANSEN, Peter Reinhard
dc.contributor.authorTIMMERMANN, Allan
dc.date.accessioned2012-11-05T16:27:33Z
dc.date.available2012-11-05T16:27:33Z
dc.date.issued2012
dc.identifier.issn1725-6704
dc.identifier.urihttp://hdl.handle.net/1814/24275
dc.description.abstractWe 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.format.mimetypeapplication/pdf
dc.language.isoenen
dc.relation.ispartofseriesEUI ECOen
dc.relation.ispartofseries2012/24en
dc.relation.hasversionhttp://hdl.handle.net/1814/38584
dc.rightsinfo:eu-repo/semantics/openAccess
dc.titleEquivalence Between Out-of-Sample Forecast: Comparisons and Wald statisticsen
dc.typeWorking Paperen
dc.neeo.contributorHANSEN|Peter Reinhard|aut|EUI70016
dc.neeo.contributorTIMMERMANN|Allan|aut|
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