Conditional Superior Predictive Ability

DOI10.1093/RESTUD/RDAB039MaRDI QIDQ5064551zbMATH OpenOpenAlexFDO

Authors Jia Li, Zhipeng Liao, Rogier Quaedvlieg

Publication date 16 March 2022

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/restud/rdab039

zbMATH Keywords

conditional moment inequalityforecast evaluationinflationintersection boundsmachine learningvolatility

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(7)

• From zero to hero: realized partial (co)variances
• Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk
• Better the devil you know: improved forecasts from imperfect models
• Optimal HAR inference
• Reprint of: Out-of-sample tests for conditional quantile coverage: an application to growth-at-risk
• Taking advantage of biased proxies for forecast evaluation
• A general test for functional inequalities

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