Multi-Horizon Forecast Comparison
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Cites work
- A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
- A Reality Check for Data Snooping
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- An Exact Test for Multiple Inequality and Equality Constraints in the Linear Regression Model
- An improved bootstrap test of stochastic dominance
- Approximately normal tests for equal predictive accuracy in nested models
- Asymptotic Inference about Predictive Ability
- Consistent Testing for Stochastic Dominance under General Sampling Schemes
- Evaluating Direct Multistep Forecasts
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- scientific article; zbMATH DE number 854585 (Why is no real title available?)
- scientific article; zbMATH DE number 3333862 (Why is no real title available?)
- Maximum likelihood and the bootstrap for nonlinear dynamic models
- On comparing multi-horizon forecasts
- Second-order correctness of the blockwise bootstrap for stationary observations
- Tests of Conditional Predictive Ability
- THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS
- The jackknife and the bootstrap for general stationary observations
- The Model Confidence Set
Cited in
(6)- Machine Learning Time Series Regressions With an Application to Nowcasting
- Reprint of: Out-of-sample tests for conditional quantile coverage: an application to growth-at-risk
- Estimation and inference for higher-order stochastic volatility models with leverage
- Seismonomics: listening to the heartbeat of the economy
- Discussion on: ``Assessing predictability of environmental time series with statistical and machine learning models
- Testing Quantile Forecast Optimality
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