Encompassing tests when no model is encompassing
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Publication:5952034
DOI10.1016/S0304-4076(01)00078-1zbMath1040.62110OpenAlexW1969494027MaRDI QIDQ5952034
Publication date: 2001
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00078-1
model selection\(V\)-procedureforecast combinationmisspecificationmisspecified modelsnon-nested modelsout of sample
Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Asymptotic properties of parametric tests (62F05)
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