Approximately normal tests for equal predictive accuracy in nested models

DOI10.1016/j.jeconom.2006.05.023zbMath1418.62432WikidataQ59486383 ScholiaQ59486383MaRDI QIDQ277173

Publication date: 4 May 2016

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

Full work available at URL: http://www.nber.org/papers/t0326.pdf

zbMATH Keywords

causality; testing; random walk; out of sample; efficient markets; principle of parsimony

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

91B84: Economic time series analysis

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Cites Work