Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis (Q291848): Difference between revisions

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@@ Property / Mathematics Subject Classification ID: 62M20 / rank @@
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+forecasting
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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+Advertising and Aggregate Consumption: An Analysis of Causality
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+Q2783447
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+Tests of equal forecast accuracy and encompassing for nested models
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+A consistent test for nonlinear out of sample predictive accuracy.
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+The Bierens test under data dependence
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+Tests of Conditional Predictive Ability
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+Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
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+Predicting the Equity Premium with Dividend Ratios
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+Q4113288
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+Large Sample Properties of Generalized Method of Moments Estimators
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+MULTISTEP PREDICTION IN AUTOREGRESSIVE PROCESSES
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+In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
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+Properties of Predictors in Misspecified Autoregressive Time Series Models
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+Asymptotics for out of sample tests of Granger causality
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+Automatic Lag Selection in Covariance Matrix Estimation
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+Q5626055
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+Asymptotic Inference about Predictive Ability
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+Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
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+Publication:291848