Asymptotic Inference about Predictive Ability

DOI10.2307/2171956zbMATH Open0854.62101OpenAlexW3122351404WikidataQ59486380 ScholiaQ59486380MaRDI QIDQ4895056FDOQ4895056

Authors: Kenneth D. West 

Publication date: 13 October 1996

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2171956

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zbMATH Keywords

efficiencysimulationsnonlinear modelsforecast evaluationmodel comparisonpredictive abilityprediction errorsout-of-sample predictionsestimated regression parametersmoments of smooth functions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

Cited In (only showing first 100 items - show all)

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• Tests of equal accuracy for nested models with estimated factors
• Evaluating Direct Multistep Forecasts
• A joint econometric model of macroeconomic and term-structure dynamics
• Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
• Forecasting by factors, by variables, by both or neither?
• Time-varying combinations of predictive densities using nonlinear filtering
• Copula-based multivariate GARCH model with uncorrelated dependent errors
• Improved tests for forecast comparisons in the presence of instabilities
• Simulation based selection of competing structural econometric models
• A consistent test for nonlinear out of sample predictive accuracy.
• AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
• Encompassing tests when no model is encompassing
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• Understanding models' forecasting performance
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• An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
• Empirical assessment of an intertemporal option pricing model with latent variables.
• Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
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• Comparison of misspecified calibrated models: the minimum distance approach
• On loss functions and ranking forecasting performances of multivariate volatility models
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• A modified Diebold-Mariano test for equal forecast accuracy with clustered dependence
• Optimality of GLS for one-step-ahead forecasting with regARIMA and related models when the regression is misspecified
• Model averaging for asymptotically optimal combined forecasts
• Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
• Optimal currency portfolio with implied return distribution in the mean-variance approach
• Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
• Dangers of data mining: The case of calendar effects in stock returns
• Prewhitened long-run variance estimation robust to nonstationarity
• Bayesian compressed vector autoregressions
• Comparing Possibly Misspecified Forecasts
• Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions
• Modeling structural breaks in economic relationships using large shocks
• Quantile aggregation and combination for stock return prediction
• Forecasting with a noncausal VAR model
• Conditional predictive density evaluation in the presence of instabilities
• Factor Model Forecasts of Exchange Rates
• Evaluation of volatility predictions in a VaR framework
• Forecasting national recessions of the United States with state-level climate risks: evidence from model averaging in Markov-switching models
• Trading profitability from learning and adaptation on the Tokyo Stock Exchange
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• Nonparametric volatility prediction
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• Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk
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• Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
• Noise fit, estimation error and a Sharpe information criterion
• The Bayesian nested Lasso for mixed frequency regression models
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• TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
• Panel data nowcasting
• Non-parametric news impact curve: a variational approach
• Risk Measure Inference
• Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts
• Multi-Horizon Forecast Comparison

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