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Statistically significant forecasting improvements: how much out-of-sample data is likely necessary?

  • Ashley, Richard

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File URL: http://www.sciencedirect.com/science/article/B6V92-44GKY6K-1/2/8732f18bb240e042b0cf18f7dc81128d
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Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 19 (2003)
Issue (Month): 2 ()
Pages: 229-239

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Handle: RePEc:eee:intfor:v:19:y:2003:i:2:p:229-239
Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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  1. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
  2. Kenneth D. West, 1994. "Asymptotic Inference About Predictive Ability," Macroeconomics 9410002, EconWPA.
  3. Ashley, R & Granger, C W J & Schmalensee, R, 1980. "Advertising and Aggregate Consumption: An Analysis of Causality," Econometrica, Econometric Society, vol. 48(5), pages 1149-67, July.
  4. James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
  5. 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.
  6. Ashley, Richard, 1998. "A new technique for postsample model selection and validation," Journal of Economic Dynamics and Control, Elsevier, vol. 22(5), pages 647-665, May.
  7. Mizrach, Bruce, 1992. "The distribution of the Theil U-statistic in bivariate normal populations," Economics Letters, Elsevier, vol. 38(2), pages 163-167, February.
  8. Norman R. Swanson, 2000. "An Out of Sample Test for Granger Causality," Econometric Society World Congress 2000 Contributed Papers 0362, Econometric Society.
  9. Mc Cracken, Michael W., 2000. "Robust out-of-sample inference," Journal of Econometrics, Elsevier, vol. 99(2), pages 195-223, December.
  10. Ashley, Richard, 1981. "Inflation and the Distribution of Price Changes across Markets: A Causal Analysis," Economic Inquiry, Western Economic Association International, vol. 19(4), pages 650-60, October.
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