In-sample tests of predictive ability: a new approach

DOI10.1016/J.JECONOM.2010.09.012MaRDI QIDQ528013zbMATHOpenAlexFDO

Authors Todd E. Clark, Michael W. McCracken

Publication date 12 May 2017

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

Full work available at URL http://research.stlouisfed.org/wp/2009/2009-051.pdf

zbMATH Keywords

forecast accuracypredictabilityin-sample

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Recommendations

• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
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• Tests of Conditional Predictive Ability

Cites work

• scientific article; zbMATH DE number 5546942 (Why is no real title available?)
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Reality Check for Data Snooping
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A Test of the Mean Square Error Criterion for Restrictions in Linear Regression
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• Computing the distribution of quadratic forms in normal variables
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
• On the selection of forecasting models
• Pre-test procedures and forecasting in the regression model under restrictions
• The Essential Completeness of the Class of Generalized Sequential Probability Ratio Tests
• The power of tests of predictive ability in the presence of structural breaks

Cited in

(11)

• Robust out-of-sample inference
• Tests of Conditional Predictive Ability
• Designing neural networks for modeling biological data: a statistical perspective
• Does modeling a structural break improve forecast accuracy?
• Inference about predictive ability
• Shrinkage-based tests of predictability
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
• Diverging tests of equal predictive ability
• The power of tests of predictive ability in the presence of structural breaks
• What does financial volatility tell us about macroeconomic fluctuations?
• Public debt and macroeconomic activity: a predictive analysis for advanced economies

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