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Robust tests of predictive accuracy

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  • Rosario Dell'Aquila
  • Elvezio Ronchetti
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    File URL: ftp://metron.sta.uniroma1.it/RePEc/articoli/2004-2-161-184.pdf
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    Bibliographic Info

    Article provided by Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome in its journal Metron.

    Volume (Year): LXII (2004)
    Issue (Month): 2 ()
    Pages: 161-184

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    Handle: RePEc:mtn:ancoec:040201

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    1. Knez, Peter J & Ready, Mark J, 1997. " On the Robustness of Size and Book-to-Market in Cross-Sectional Regressions," Journal of Finance, American Finance Association, vol. 52(4), pages 1355-82, September.
    2. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
    3. Allan Timmermann & Halbert White & Ryan Sullivan, 1998. "Data-Snooping, Technical Trading, Rule Performance and the Bootstrap," FMG Discussion Papers dp303, Financial Markets Group.
    4. West, Kenneth D & McCracken, Michael W, 1998. "Regression-Based Tests of Predictive Ability," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 817-40, November.
    5. repec:att:wimass:9417 is not listed on IDEAS
    6. West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-84, September.
    7. Todd E. Clark & Michael W. McCracken, 1999. "Tests of equal forecast accuracy and encompassing for nested models," Research Working Paper 99-11, Federal Reserve Bank of Kansas City.
    8. Clements, Michael P & Taylor, Nick, 2001. "Robust Evaluation of Fixed-Event Forecast Rationality," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(4), pages 285-95, July.
    9. Harvey, David I & Leybourne, Stephen J & Newbold, Paul, 1998. "Tests for Forecast Encompassing," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 254-59, April.
    10. West,K.D., 1999. "Encompassing tests when no model is encompassing," Working papers 36, Wisconsin Madison - Social Systems.
    11. Corradi, V. & Swanson, N.R., 2000. "A Consistent Test for Nonlinear Out of Sample Predictive Accuracy," Discussion Papers 0012, Exeter University, Department of Economics.
    12. Corradi, Valentina & Swanson, Norman R. & Olivetti, Claudia, 2001. "Predictive ability with cointegrated variables," Journal of Econometrics, Elsevier, vol. 104(2), pages 315-358, September.
    13. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
    14. McCracken,M.W. & West,K.D., 2001. "Inference about predictive ability," Working papers 14, Wisconsin Madison - Social Systems.
    15. Norman R. Swanson, 2000. "An Out of Sample Test for Granger Causality," Econometric Society World Congress 2000 Contributed Papers 0362, Econometric Society.
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    Cited by:
    1. Toma, Aida & Broniatowski, Michel, 2011. "Dual divergence estimators and tests: Robustness results," Journal of Multivariate Analysis, Elsevier, vol. 102(1), pages 20-36, January.

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