Statistically significant forecasting improvements: how much out-of-sample data is likely necessary?
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- West, Kenneth D & McCracken, Michael W, 1998.
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- 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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0169, National Bureau of Economic Research, Inc.
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- 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.
- 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.
- Mizrach, Bruce, 1992. "The distribution of the Theil U-statistic in bivariate normal populations," Economics Letters, Elsevier, vol. 38(2), pages 163-167, February.
- 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.
- 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.
- Mc Cracken, Michael W., 2000. "Robust out-of-sample inference," Journal of Econometrics, Elsevier, vol. 99(2), pages 195-223, December.
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