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Robust tests of predictive accuracy

  • 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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    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. 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.
    2. Kenneth D. West, 2000. "Encompassing Tests When No Model Is Encompassing," NBER Technical Working Papers 0256, National Bureau of Economic Research, Inc.
    3. 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.
    4. Allan Timmermann & Halbert White & Ryan Sullivan, 1998. "Data-Snooping, Technical Trading, Rule Performance and the Bootstrap," FMG Discussion Papers dp303, Financial Markets Group.
    5. Kenneth D. West & Michael W. McCracken, 1998. "Regression-Based Tests of Predictive Ability," NBER Technical Working Papers 0226, National Bureau of Economic Research, Inc.
    6. 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.
    7. West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-84, September.
    8. 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.
    9. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
    10. Norman R. Swanson, 2000. "An Out of Sample Test for Granger Causality," Econometric Society World Congress 2000 Contributed Papers 0362, Econometric Society.
    11. Corradi, Valentina & Swanson, Norman R., 2002. "A consistent test for nonlinear out of sample predictive accuracy," Journal of Econometrics, Elsevier, vol. 110(2), pages 353-381, October.
    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 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.
    14. McCracken,M.W. & West,K.D., 2001. "Inference about predictive ability," Working papers 14, Wisconsin Madison - Social Systems.
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