Maximum-Subsampling Test of Equal Predictive Ability
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Cites work
- A Bernstein type inequality and moderate deviations for weakly dependent sequences
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- Asymptotics for out of sample tests of Granger causality
- Comment
- Comment
- Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold–Mariano Tests
- Diverging tests of equal predictive ability
- Evaluating Direct Multistep Forecasts
- Extremes and related properties of random sequences and processes
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- Testing-optimal kernel choice in HAR inference
- Tests of Conditional Predictive Ability
- Tests of equal forecast accuracy and encompassing for nested models
- Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
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