Tests of equal forecast accuracy and encompassing for nested models
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Cites work
- A new technique for postsample model selection and validation
- A Reality Check for Data Snooping
- A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
- Advertising and Aggregate Consumption: An Analysis of Causality
- Asymptotic Inference about Predictive Ability
- Asymptotics for out of sample tests of Granger causality
- Econometric Evaluation of Linear Macro-Economic Models
- Encompassing tests when no model is encompassing
- scientific article; zbMATH DE number 3537122 (Why is no real title available?)
- Modified Wald tests under nonregular conditions
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Out-of-sample tests for Granger causality
- Predictive ability with cointegrated variables
- Robust out-of-sample inference
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
Cited in
(82)- Multivariate out-of-sample tests for Granger causality
- A GMM procedure for combining volatility forecasts
- The determinants of CDS spreads: evidence from the model space
- Short-run electricity load forecasting with combinations of stationary wavelet transforms
- Enriching demand forecasts with managerial information to improve inventory replenishment decisions: exploiting judgment and fostering learning
- A consistent test for nonlinear out of sample predictive accuracy.
- Stock prices-inflation puzzle and the predictability of stock market returns
- Robust tests of predictive accuracy
- Reexamining time-varying bond risk premia in the post-financial crisis era
- Conditional rotation between forecasting models
- Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crisis
- Improving judgmental adjustment of model-based forecasts
- Are forecast updates progressive?
- Does modeling a structural break improve forecast accuracy?
- Nested forecast model comparisons: a new approach to testing equal accuracy
- Determining the MSE-optimal cross section to forecast
- A predictability test for a small number of nested models
- The power of tests of predictive ability in the presence of structural breaks
- Mind the gap! -- A monetarist view of the open-economy Phillips curve
- Multi-population mortality modeling: when the data is too much and not enough
- Multi-level factor analysis of bond risk premia
- The discontinuation of the EUR/CHF minimum exchange rate: information from option-implied break probabilities
- On the selection of forecasting models
- Bootstrap conditional distribution tests in the presence of dynamic misspecification
- Approximately normal tests for equal predictive accuracy in nested models
- Selection of estimation window in the presence of breaks
- Improved tests for forecast comparisons in the presence of instabilities
- Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
- Predictive density and conditional confidence interval accuracy tests
- A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
- Consistent ranking of volatility models
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- Forecasts of US short-term interest rates: a flexible forecast combination approach
- Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators
- A new production function estimate of the euro area output gap
- Do experts' adjustments on model-based SKU-level forecasts improve forecast quality?
- The use of encompassing tests for forecast combinations
- Combining forecasts based on multiple encompassing tests in a macroeconomic core system
- MONEY GROWTH AND INFLATION IN THE UNITED STATES
- Rolling window selection for out-of-sample forecasting with time-varying parameters
- Change‐point monitoring in linear models
- Econometric Evaluation of Linear Macro-Economic Models
- Asymptotics for out of sample tests of Granger causality
- Equivalence between out-of-sample forecast comparisons and Wald statistics
- In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
- Forecasting inflation using commodity price aggregates
- Evaluation of volatility predictions in a VaR framework
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
- The predictive performance of the currency futures basis for spot returns
- Tests of equal accuracy for nested models with estimated factors
- In-sample tests of predictive ability: a new approach
- On loss functions and ranking forecasting performances of multivariate volatility models
- Testing forecast accuracy
- ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY
- Evaluating Direct Multistep Forecasts
- Short-horizon return predictability and oil prices
- Time to build and bond risk premia
- Time to build and bond risk premia
- Encompassing tests when no model is encompassing
- Predictive ability with cointegrated variables
- Real-time nowcasting of nominal GDP with structural breaks
- Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk
- Comparing forecasting performance in cross-sections
- Evaluating forecast performance with state dependence
- Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions
- On Testing Equal Conditional Predictive Ability Under Measurement Error
- Predictive ability tests with possibly overlapping models
- Targeting Predictors Via Partial Distance Correlation With Applications to Financial Forecasting
- Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter
- Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
- Asymptotic Inference for Performance Fees and the Predictability of Asset Returns
- Reprint of: Out-of-sample tests for conditional quantile coverage: an application to growth-at-risk
- On the use of the concentration function to compare predictive distributions in ARMA models.
- A novel approach to predictive accuracy testing in nested environments
- Bootstrapping out-of-sample predictability tests with real-time data
- Maximum-Subsampling Test of Equal Predictive Ability
- Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
- Adaptive Group LASSO for the GARCH-MIDAS Model
- Comparison of value-at-risk models using the MCS approach
- Editorial. Annals issue on forecasting -- guest editors' introduction
- Understanding models' forecasting performance
- Selection between models through multi-step-ahead forecasting
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