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Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis Author info | Abstract | Publisher info | Download info | Related research | Statistics Clark, Todd E.
West, Kenneth D.
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Article provided by Elsevier in its journal Journal of Econometrics .
Volume (Year): 135 (2006)
Issue (Month): 1-2 ()
Pages: 155-186
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Handle: RePEc:eee:econom:v:135:y:2006:i:1-2:p:155-186Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom
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"Tests for Forecast Encompassing ,"
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"Why is it so difficult to beat the Random Walk Forecast of Exchange Rates? ,"
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