Bootstrapping out-of-sample predictability tests with real-time data

DOI10.1016/J.JECONOM.2024.105916MaRDI QIDQ7011727zbMATH OpenFDO

Authors Sílvia Gonçalves, Michael W. McCracken, Yongxu Yao

Publication date 18 March 2025

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2024.105916

zbMATH Keywords

bootstrapforecast evaluationpredictionreal-time data

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A real-time data set for macroeconomists
• Approximation Theorems of Mathematical Statistics
• Asymptotic Inference about Predictive Ability
• Block bootstrap HAC robust tests: the sophistication of the naive bootstrap
• Evaluating forecast performance with state dependence
• Handbook of economic forecasting. Volume 1
• scientific article; zbMATH DE number 854585 (Why is no real title available?)
• Nonparametric bootstrap procedures for predictive inference based on recursive estimation schemes
• Predictive ability tests with possibly overlapping models
• Predictive ability with cointegrated variables
• Tests of equal forecast accuracy and encompassing for nested models
• THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS
• The jackknife and the bootstrap for general stationary observations
• The moving blocks bootstrap and robust inference for linear least squares and quantile regressions

Cited in

(1)

• Taking advantage of biased proxies for forecast evaluation

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