Browsing ECO Working Papers by Author "TIMMERMANN, Allan"

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Browsing ECO Working Papers by Author "TIMMERMANN, Allan"

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    Title: Equivalence Between Out-of-Sample Forecast: Comparisons and Wald statistics  Author(s): HANSEN, Peter Reinhard; TIMMERMANN, Allan Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO 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 ...
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    Title: Choice of Sample Split in Out-of-Sample Forecast Evaluation  Author(s): HANSEN, Peter Reinhard; TIMMERMANN, Allan Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Out-of-sample tests of forecast performance depend on how a given data set is split into estimation and evaluation periods, yet no guidance exists on how to choose the split point. Empirical forecast evaluation results can ...