Evaluating Direct Multistep Forecasts (Q5719300): Difference between revisions

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+Recent developments in bootstrapping time series
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+Tests of equal forecast accuracy and encompassing for nested models
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+The power of tests of predictive ability in the presence of structural breaks
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+A consistent test for nonlinear out of sample predictive accuracy.
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+Predictive ability with cointegrated variables
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+Stochastic Limit Theory
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+Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
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+Forecasting Performance of Information Criteria with Many Macro Series
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+In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
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+A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
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+Asymptotics for out of sample tests of Granger causality
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+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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+VAR forecasting under misspecification
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+Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
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+Asymptotic Inference about Predictive Ability
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