Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
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Publication:291848
DOI10.1016/J.JECONOM.2005.07.014zbMATH Open1418.62433MaRDI QIDQ291848FDOQ291848
Authors: Todd E. Clark, Kenneth D. West 
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)
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- Forecasting inflation using commodity price aggregates
- Factor model forecasts of exchange rates
- Nonparametric long term prediction of stock returns with generated bond yields
- Predictor selection for positive autoregressive processes
- Evaluating forecast performance with state dependence
- ``Since you're so rich, you must be really smart: talent, rent sharing, and the finance wage premium
- A network solution to robust implementation: the case of identical but unknown distributions
- A more credible approach to parallel trends
- A welfare analysis of occupational licensing in U.S. states
- Hazed and confused: the effect of air pollution on dementia
- IQ, expectations, and choice
- Learning from neighbours about a changing state
- Liquidity and exchange rates: an empirical investigation
- Optimal feedback in contests
- Price discrimination in the information age: prices, poaching, and privacy with personalized targeted discounts
- Save, spend, or give? A model of housing, family insurance, and savings in old age
- Stratification trees for adaptive randomisation in randomised controlled trials
- Testing the production approach to markup estimation
- Unemployment insurance in macroeconomic stabilization
- Multi-regime models for nonlinear nonstationary time series
- Statistical tests for multiple forecast comparison
- Evaluating the impact of the labor market conditions index on labor market forecasts
- Exchange rate returns and external adjustment: evidence from Switzerland
- The relevance of the monetary model for the euro / USD exchange rate determination: a long run perspective
- Testing the martingale difference hypothesis using integrated regression functions
- An out-of-sample, nonparametric test of the martingale difference hypothesis
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