Nested forecast model comparisons: a new approach to testing equal accuracy

DOI10.1016/j.jeconom.2014.06.016zbMath1331.62462MaRDI QIDQ2346024

Todd E. Clark, Michael W. McCracken

Publication date: 29 May 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.06.016

zbMATH Keywords

prediction; mean square error

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

62E20: Asymptotic distribution theory in statistics

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