Combining p-values for Multivariate Predictive Ability Testing

DOI10.1080/07350015.2022.2067545OpenAlexW4224272103MaRDI QIDQ6190690

Giovanni Urga, Unnamed Author

Publication date: 6 March 2024

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07350015.2022.2067545

zbMATH Keywords

exchange ratesforecasting evaluationpredictive accuracyintersection-union tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Statistical tests for multiple forecast comparison
• Approximately normal tests for equal predictive accuracy in nested models
• On loss functions and ranking forecasting performances of multivariate volatility models
• Combining dependent \(P\)-values.
• Higher criticism for detecting sparse heterogeneous mixtures.
• Cauchy Combination Test: A Powerful Test With Analytic p-Value Calculation Under Arbitrary Dependency Structures
• Asymptotic Statistics
• Asymptotic Distribution of P Values in Composite Null Models
• Combining p-values via averaging
• Accurate and Efficient P-value Calculation Via Gaussian Approximation: A Novel Monte-Carlo Method
• Tests of Conditional Predictive Ability
• Choosing between methods of combining $p$-values
• Inferential Theory for Factor Models of Large Dimensions
• Comparing forecasting performance in cross-sections

This page was built for publication: Combining p-values for Multivariate Predictive Ability Testing