Improved Tests for Forecast Comparisons in the Presence of Instabilities
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Publication:2817311
DOI10.1111/jtsa.12179zbMath1396.62213MaRDI QIDQ2817311
Pierre Perron, Luis F. Martins
Publication date: 30 August 2016
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10071/12874
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84: Economic time series analysis
62M02: Markov processes: hypothesis testing
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
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- Estimating and Testing Linear Models with Multiple Structural Changes
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Asymptotic Inference about Predictive Ability
- Tests of Conditional Predictive Ability
- Tests of equal forecast accuracy and encompassing for nested models