Testing for Equal Average Forecast Accuracy in Possibly Unstable Environments
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Cites work
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional rotation between forecasting models
- Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
- Evaluating forecast performance with state dependence
- Generalized autoregressive conditional heteroscedasticity
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- scientific article; zbMATH DE number 1106711 (Why is no real title available?)
- scientific article; zbMATH DE number 2188315 (Why is no real title available?)
- Improved tests for forecast comparisons in the presence of instabilities
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Nested forecast model comparisons: a new approach to testing equal accuracy
- Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
- Optimal difference-based variance estimators in time series: a general framework
- Strong invariance principles for dependent random variables
- Strong rules for detecting the number of breaks in a time series
- Testing for Changes in Forecasting Performance
- Tests for changing mean with monotonic power
- Tests of Conditional Predictive Ability
- The Size‐Power Tradeoff in HAR Inference
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