Approximately normal tests for equal predictive accuracy in nested models
From MaRDI portal
Recommendations
- Tests of equal accuracy for nested models with estimated factors
- Tests of equal forecast accuracy and encompassing for nested models
- On exact and asymptotic tests of non-nested models
- A novel method for testing normality in a mixed model of a nested classification
- Statistical tests for comparing possibly misspecified and nonnested models
- Nested forecast model comparisons: a new approach to testing equal accuracy
- On exact tests of linear hypothesis in linear models with nested error structure
- A predictability test for a small number of nested models
- Approximate test of model adequacy based on exact and near replicates
Cites work
- A consistent test for nonlinear out of sample predictive accuracy.
- Advertising and Aggregate Consumption: An Analysis of Causality
- Asymptotic Inference about Predictive Ability
- Econometric Evaluation of Linear Macro-Economic Models
- Evaluating Direct Multistep Forecasts
- Forecasting the term structure of government bond yields
- Out-of-sample tests for Granger causality
- Predicting the equity premium with dividend ratios
- Tests of Conditional Predictive Ability
- Tests of equal forecast accuracy and encompassing for nested models
- What does the yield curve tell us about GDP growth?
Cited in
(83)- Statistical tests for multiple forecast comparison
- Complete subset regressions
- Forecasting seasonal time series data: a Bayesian model averaging approach
- The power of weather
- A modified Diebold-Mariano test for equal forecast accuracy with clustered dependence
- Reexamining time-varying bond risk premia in the post-financial crisis era
- Transaction activity and bitcoin realized volatility
- Equity premium prediction: taking into account the role of long, even asymmetric, swings in stock market behavior
- A neural network ensemble approach for GDP forecasting
- Forecasting stock market volatility: the role of gold and exchange rate
- Real-time Bayesian learning and bond return predictability
- Predicting the equity market risk premium: a model selection approach
- Rare disaster concerns and economic fluctuations
- An observation regarding Hamilton's recent criticisms of Kilian's global real economic activity index
- Crude oil price volatility and short-term predictability of the real U.S. GDP growth rate
- Nested forecast model comparisons: a new approach to testing equal accuracy
- Does central bank capital matter for monetary policy?
- The relevance of the monetary model for the euro / USD exchange rate determination: a long run perspective
- Determining the MSE-optimal cross section to forecast
- A predictability test for a small number of nested models
- Time-varying combinations of predictive densities using nonlinear filtering
- Testable implications of affine term structure models
- Forecasting US stock market returns: a Japanese candlestick approach
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
- Can we use seasonally adjusted variables in dynamic factor models?
- Asymmetric dynamics between uncertainty and unemployment flows in the United States
- Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
- Leverage as a predictor for real activity and volatility
- Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK
- Predictability of structural co-movement in commodity prices: the role of technical indicators
- On the sources of uncertainty in exchange rate predictability
- Out-of-sample stock return prediction using higher-order moments
- Shrinkage-based tests of predictability
- Adjusting for information content when comparing forecast performance
- Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model
- Does a lot help a lot? Forecasting stock returns with pooling strategies in a data-rich environment
- Forecasting inflation using commodity price aggregates
- Error Normality Testing in a Model of Two‐Way Nested Classification
- Diverging tests of equal predictive ability
- Factor model forecasts of exchange rates
- Forecasting crude oil prices: do technical indicators need economic constraints?
- Forecasting the industrial production using alternative factor models and business survey data
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
- The predictive performance of the currency futures basis for spot returns
- Tests of equal accuracy for nested models with estimated factors
- Testing forecast accuracy
- Quantile aggregation and combination for stock return prediction
- Time to build and bond risk premia
- Time to build and bond risk premia
- Tests of equal forecast accuracy and encompassing for nested models
- Evaluating forecast performance with state dependence
- Are bond returns predictable with real-time macro data?
- Employee sentiment and stock returns
- Behavioral learning equilibria in New Keynesian models
- Structural Breaks in Grouped Heterogeneity
- Combining p-values for Multivariate Predictive Ability Testing
- Dynamic industry uncertainty networks and the business cycle
- Predicting Early Data Revisions to U.S. GDP and the Effects of Releases on Equity Markets
- Multi-Horizon Forecast Comparison
- Shrinkage estimation and forecasting in dynamic regression models under structural instability
- Forecasting carbon returns under structural breaks and model uncertainty: a time-weighted regularized combination approach
- Out-of-sample density prediction of the end-of-month price of crude oil and the U.S. economic policy uncertainty index
- A novel approach to predictive accuracy testing in nested environments
- Out-of-sample equity premium prediction: a voting approach to forecast combination
- Multifractal characteristics and return predictability in the Chinese stock markets
- Realized skewness of oil price returns and the short-term predictability for exchange rate
- Satellites turn ``concrete: tracking cement with satellite data and neural networks
- Recurrent double-conditional factor model
- Optimal asset allocation and nonlinear return predictability from the dividend-price ratio
- Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches
- Uncertainty and fluctuation in crude oil price: evidence from machine learning models
- Forecasting Inflation Using Economic Narratives
- Noncommon Breaks
- Forecasting the equity premium: can machine learning beat the historical average?
- Detecting chaos and predicting in Dow Jones Index
- Forecasting Chinese equity premium: a dimensionality reduction combination approach
- Real exchange rate dynamics and external balances: econometric and artificial neural network analyses
- M^*-BVAR: Bayesian vector autoregression with macroeconomic stars
- Market-based short-rate uncertainty and time-varying expected returns
- Volatility forecasting based on SMA-Realized AHAR GARCH CICSI model
- Understanding models' forecasting performance
- Forecasting stock market volatility: a combination approach
- Bitcoin mining activity and volatility dynamics in the power market
This page was built for publication: Approximately normal tests for equal predictive accuracy in nested models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q277173)
