Asymptotic Inference about Predictive Ability

DOI10.2307/2171956zbMath0854.62101OpenAlexW3122351404WikidataQ59486380 ScholiaQ59486380MaRDI QIDQ4895056

Publication date: 13 October 1996

Published in: Econometrica (Search for Journal in Brave)

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

zbMATH Keywords

efficiency nonlinear models simulations model comparison forecast evaluation predictive ability prediction errors out-of-sample predictions estimated regression parameters moments 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)

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