In-sample tests of predictive ability: a new approach

DOI10.1016/J.JECONOM.2010.09.012zbMATH Open1443.62298OpenAlexW3121266216MaRDI QIDQ528013FDOQ528013

Michael W. McCracken, Todd E. Clark

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://research.stlouisfed.org/wp/2009/2009-051.pdf

Recommendations

• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
• The power of tests of predictive ability in the presence of structural breaks
• Robust out-of-sample inference
• Tests of equal forecast accuracy and encompassing for nested models
• Tests of Conditional Predictive Ability

zbMATH Keywords

forecast accuracypredictabilityin-sample

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Computing the distribution of quadratic forms in normal variables
• A Reality Check for Data Snooping
• The power of tests of predictive ability in the presence of structural breaks
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
• On the selection of forecasting models
• Title not available (Why is that?)
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• Pre-test procedures and forecasting in the regression model under restrictions
• The Essential Completeness of the Class of Generalized Sequential Probability Ratio Tests
• A Test of the Mean Square Error Criterion for Restrictions in Linear Regression

Cited In (8)

• What does financial volatility tell us about macroeconomic fluctuations?
• Designing neural networks for modeling biological data: a statistical perspective
• Robust out-of-sample inference
• Inference about predictive ability
• Does modeling a structural break improve forecast accuracy?
• Tests of Conditional Predictive Ability
• Public debt and macroeconomic activity: a predictive analysis for advanced economies
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?

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