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 | https://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.format.mimetype | application/pdf | |
dc.language.iso | en | en |
dc.relation.ispartofseries | EUI ECO | en |
dc.relation.ispartofseries | 2012/24 | en |
dc.relation.hasversion | http://hdl.handle.net/1814/38584 | |
dc.rights | info:eu-repo/semantics/openAccess | |
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| | |
eui.subscribe.skip | true | |