Approximately Normal Tests for Equal Predictive Accuracy in Nested Models

Keywords

Nested set model, Statistics, Mathematics, Computer science, Data mining

References

• Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?Lutz Kilian — 1999
• Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesisTodd E. Clark, Kenneth D. West — 2006
• Exchange Rates and Fundamentals: Evidence on Long-Horizon PredictabilityNelson C. Mark — 1995
• On the Predictability of Stock Returns in Real TimeMichael J. Cooper, Roberto C. Gutierrez, William M. Marcum — 2005
• On the Out-of-Sample Predictability of Stock Market ReturnsHui Guo — 2002
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• OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITYJohn C. Chao, Valentina Corradi, Norman R. Swanson — 2001
• Tests for Forecast EncompassingDavid I. Harvey, Stephen J. Leybourne, Paul Newbold — 1998
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?Atsushi Inoue, Lutz Kilian — 2005
• Predictable Stock Returns: The Role of Small Sample BiasCharles R. Nelson, Myung J. Kim — 1993
• Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to JapanMototsugu Shintani — 2005
• Tests for Forecasts Encompassing When Forecasts Depend on Estimated Regression ParametersKenneth D. West — 2001
• Consumption, Wealth and Expected Stock Returns in Australia*Lance A. Fisher, Graham Voss — 2004
• Macroeconomic Forecasting Using Diffusion IndexesJames H. Stock, Mark W. Watson — 2002
• Asymptotics for out of sample tests of Granger causalityMichael W. McCracken — 2007
• Econometric Evaluation of Linear Macro-Economic ModelsYock Y. Chong, David F. Hendry — 1986
• Financial Variables and the Simulated Out‐of‐Sample Forecastability of U.S. Output Growth Since 1985: An Encompassing ApproachDavid E. Rapach, Christian E. Weber — 2004
• Evaluating Direct Multistep ForecastsTodd E. Clark, Michael W. McCracken — 2005
• Forecasting Output and Inflation: The Role of Asset PricesJames H. Stock, Mark Watson — 2003
• Tests of Equal Forecast Accuracy and Encompassing for Nested ModelsTodd E. Clark, Michael W. McCracken — 2001

Cited by

• Google Trends: Predicción del nivel de empleo agregado en Perú usando datos en tiempo real, 2005-2011Jillie Chang, Andrea Del Río — 2013
• Forecasting Chilean inflation with international factorsPablo Pincheira, Andrés Gatty — 2016
• La curva de rendimiento y su relación con la actividad económica: una aplicación para MéxicoMario Reyna Cerecero, Diana Salazar Cavazos, Héctor Salgado Banda — 2009
• Crude Oil Price Prediction: A Nonparametric ApproachYifeng Zhu — 2016
• Does Combining Models Help with Pricing of European OptionsSemin Ibisevic — 2013
• Enhancing empirical accounting models with textual informationKhrystyna Bochkay — 2014
• Three Essays on Return Predictability and Decentralized Investment ManagementDashan Huang — 2013
• Commodity Prices and Related Equity PricesShiu‐Sheng Chen — 2016
• Forecasting Chinese GDP Growth with Mixed Frequency Data: Which Indicators to Look at?Heiner Mikosch, Ying Zhang — 2014
• Essays on determinants spillovers and predictability of the South African stock returnsMampho P. Modise — 2013
• How Predictable are Components of the Aggregate Market PortfolioAiguo Kong, David E. Rapach, Jack Strauss — 2009
• Forecasting the Real Exchange Rates Behavior: An Investigation of Nonlinear Competing ModelsRuxandra Prodan, Yu Liu — 2013
• G-3 and BRICK Stock Markets: Co-integration and Its Forecasting AbilitySomin Yoo — 2011
• Cross-Asset Return Predictability between Currency Carry Trades and StocksHelen Lu, Ben Jacobsen — 2012
• Three Essays in Housing MarketsChristopher Fletcher — 2013
• El Escaso Poder Predictivo de Simples Curvas de Phillips en Chile: Una Evaluación en Tiempo RealPablo Pincheira, Hernán Rubio — 2010
• Combination Forecasts of Bond and Stock Returns: An Asset Allocation PerspectiveEkaterini Panopoulou, Sotiria Plastira — 2014
• Kelet-közép európai devizaárfolyamok elõrejelzése határidõs árfolyamok segítségévelΖsolt Darvas, Zoltán Schepp — 2007
• Predicting output and inflation using the entire yield curveAzamat Abdymomunov — 2009
• Common Macro Factors and Currency PremiaIlias Filippou, Mark P. Taylor — 2014

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