Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics

DOI10.3982/ECTA10581zbMath1410.62117MaRDI QIDQ4614327

Peter Reinhard Hansen, Allan G. Timmermann

Publication date: 30 January 2019

Published in: Econometrica (Search for Journal in Brave)

zbMATH Keywords

testing; nested models; out-of-sample forecast evaluation

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62J02: General nonlinear regression

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