A novel approach to predictive accuracy testing in nested environments
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Cites work
- A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change
- A nondegenerate Vuong test
- A predictability test for a small number of nested models
- Approximately normal tests for equal predictive accuracy in nested models
- Asymptotic Inference about Predictive Ability
- Asymptotics for out of sample tests of Granger causality
- Cumulated sum of squares statistics for nonlinear and nonstationary regressions
- Equivalence between out-of-sample forecast comparisons and Wald statistics
- Evaluating Direct Multistep Forecasts
- Inference of Trends in Time Series
- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- Modelling the COVID-19 Infection Trajectory: A Piecewise Linear Quantile Trend Model
- Power enhancement in high-dimensional cross-sectional tests
- Rejoinder
- Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
- STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
- Testing for long memory in the presence of a general trend
- Testing long-horizon predictive ability with high persistence, and the Meese-Rogoff puzzle
- Tests of Conditional Predictive Ability
- Tests of equal forecast accuracy and encompassing for nested models
- The functional central limit theorem for a family of GARCH observations with applications
- THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
- Trends in distributional characteristics: existence of global warming
- When will the Covid-19 pandemic peak?
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