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Inference about predictive ability

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Author Info

  • McCracken,M.W.
  • West,K.D.

    (University of Wisconsin-Madison, Social Systems Research Institute)

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File URL: http://www.ssc.wisc.edu/econ/archive/wp2001-14.pdf
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Bibliographic Info

Paper provided by Wisconsin Madison - Social Systems in its series Working papers with number 14.

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Date of creation: 2001
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Handle: RePEc:att:wimass:200114

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Postal: UNIVERSITY OF WISCONSIN MADISON, SOCIAL SYSTEMS RESEARCH INSTITUTE(S.S.R.I.), MADISON WISCONSIN 53706 U.S.A.

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Cited by:
  1. Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics.
  2. Rosario Dell'Aquila & Elvezio Ronchetti, 2004. "Robust tests of predictive accuracy," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 161-184.
  3. Stanislav Anatolyev, 2007. "Inference about predictive ability when there are many predictors," Working Papers w0096, Center for Economic and Financial Research (CEFIR).
  4. Michael P. Clements & David F. Hendry, 2005. "Guest Editors' Introduction: Information in Economic Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 713-753, December.
  5. Todd E. Clark & Michael W. McCracken, 2000. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Econometric Society World Congress 2000 Contributed Papers 0319, Econometric Society.
  6. Buncic, Daniel, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," MPRA Paper 16526, University Library of Munich, Germany.
  7. Clements, Michael P. & Smith, Jeremy, 2002. "Evaluating multivariate forecast densities: a comparison of two approaches," International Journal of Forecasting, Elsevier, vol. 18(3), pages 397-407.
  8. Gabriela De Raaij & Burkhard Raunig, 2005. "Evaluating density forecasts from models of stock market returns," The European Journal of Finance, Taylor & Francis Journals, vol. 11(2), pages 151-166.
  9. Nakamura, Emi, 2005. "Inflation forecasting using a neural network," Economics Letters, Elsevier, vol. 86(3), pages 373-378, March.
  10. Robledo, Carlos W. & Zapata, Hector O. & McCracken, Michael, 2001. "New Mse Tests For Evaluating Forecasting Performance: Empirics And Bootstrap," 2001 Annual meeting, August 5-8, Chicago, IL 20686, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

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