Date: 2012
Type: Working Paper
Equivalence Between Out-of-Sample Forecast: Comparisons and Wald statistics
Working Paper, EUI ECO, 2012/24
HANSEN, Peter Reinhard, TIMMERMANN, Allan, Equivalence Between Out-of-Sample Forecast: Comparisons and Wald statistics, EUI ECO, 2012/24 - https://hdl.handle.net/1814/24275
Retrieved from Cadmus, EUI Research Repository
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.
Cadmus permanent link: https://hdl.handle.net/1814/24275
ISSN: 1725-6704
Series/Number: EUI ECO; 2012/24
Published version: http://hdl.handle.net/1814/38584