A consistent test for nonlinear out of sample predictive accuracy.
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- A Consistent Conditional Moment Test of Functional Form
- A Reality Check for Data Snooping
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- Asymptotics for out of sample tests of Granger causality
- Bayesian Estimation and Prediction Using Asymmetric Loss Functions
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- Mixing: Properties and examples
- Multivariate star analysis of money-output relationship
- On strong invariance principles under dependence assumptions
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Out-of-sample tests for Granger causality
- Predictive ability with cointegrated variables
- Robust out-of-sample inference
- Testing for distributional change in time series
- Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
- Testing linearity against smooth transition autoregressive models
- Tests of equal forecast accuracy and encompassing for nested models
- The Bierens test under data dependence
- The Stationary Bootstrap
- The jackknife and the bootstrap for general stationary observations
Cited in
(29)- Predictive ability tests with possibly overlapping models
- Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments
- Bootstrap specification tests for diffusion processes
- VAR forecasting under misspecification
- Bootstrap conditional distribution tests in the presence of dynamic misspecification
- Robust out-of-sample inference
- Bounds for inference with nuisance parameters present only under the alternative
- ARMA representation of integrated and realized variances
- Editorial: Causality, prediction, and specification analysis: recent advances and future directions
- Evaluating Direct Multistep Forecasts
- Consistent GMM residuals-based tests of functional form
- Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk
- Properties of optimal forecasts under asymmetric loss and nonlinearity
- Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks
- A nonparametric approach to test for predictability
- Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators
- Nested forecast model comparisons: a new approach to testing equal accuracy
- A predictability test for a small number of nested models
- MONEY GROWTH AND INFLATION IN THE UNITED STATES
- Approximately normal tests for equal predictive accuracy in nested models
- Predictive density and conditional confidence interval accuracy tests
- Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
- Testing for neglected nonlinearity using artificial neural networks with many randomized hidden unit activations
- Asymptotics for out of sample tests of Granger causality
- The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
- Reprint of: Out-of-sample tests for conditional quantile coverage: an application to growth-at-risk
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
- A comparison between Fama and French's model and artificial neural networks in predicting the Chinese stock market
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