Encompassing tests when no model is encompassing

DOI10.1016/S0304-4076(01)00078-1MaRDI QIDQ5952034zbMATH OpenOpenAlexFDO

Authors Kenneth D. West

Publication date 2001

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

Full work available at URL https://doi.org/10.1016/s0304-4076(01)00078-1

zbMATH Keywords

\(V\)-procedureforecast combinationmisspecificationmisspecified modelsmodel selectionnon-nested modelsout of sample

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

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Cites work

• Asymptotic Inference about Predictive Ability
• Econometric Evaluation of Linear Macro-Economic Models
• scientific article; zbMATH DE number 854558 (Why is no real title available?)
• scientific article; zbMATH DE number 3213229 (Why is no real title available?)
• scientific article; zbMATH DE number 3320085 (Why is no real title available?)
• Large Sample Properties of Generalized Method of Moments Estimators
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• Tests of non-nested regression models. Small sample adjustments and Monte Carlo evidence
• Tests of non-nested regression models: Some results on small sample behaviour and the bootstrap
• The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
• The significance of testing empirical non-nested models
• The solution of dynamic linear rational expectations models

Cited in

(10)

• Encompassing in stationary linear dynamic models
• Encompassing: formulation, properties and testing
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
• Encompassing and indirect inference
• Instrumental Models and Indirect Encompassing
• Asymptotic behavior of encompassing test for independent processes: case of linear and nearest neighbor regressions
• Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns
• Tests of equal forecast accuracy and encompassing for nested models
• An encompassing test for non-nested quantile regression models

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