Evaluating forecast performance with state dependence
From MaRDI portal
Publication:6090570
DOI10.1016/J.JECONOM.2021.07.015OpenAlexW4205314549MaRDI QIDQ6090570
Tatevik Sekhposyan, Florens Odendahl, Barbara Rossi
Publication date: 17 November 2023
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.07.015
forecast evaluationstate dependencemoment-based testspredictive ability testingpockets of predictability
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Related Items (1)
Cites Work
- Unnamed Item
- Approximately normal tests for equal predictive accuracy in nested models
- Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
- An empirical process central limit theorem for dependent non-identically distributed random variables
- Invariance principles for absolutely regular empirical processes
- Predicting the Equity Premium with Dividend Ratios
- Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- A Model of Capital and Crises
- Optimal Test for Markov Switching Parameters
- An introduction to econometric applications of empirical process theory for dependent random variables
- Asymptotic Inference about Predictive Ability
- Likelihood Ratio-Based Tests for Markov Regime Switching
- Tests of Conditional Predictive Ability
- Testing for Regime Switching
- ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Tests of equal forecast accuracy and encompassing for nested models
This page was built for publication: Evaluating forecast performance with state dependence
