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Pairwise tests of equal forecast accuracy (in Russian)

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  • Michael McCracken

    (Federal Reserve Board of Governors, Washington D.C., USA)

Abstract

This essay reviews recent work regarding pairwise tests of equal forecast accuracy between nested and non-nested models. While some technical details are given, special emphasis is placed on the practical implementation of the tests.

Suggested Citation

  • Michael McCracken, 2006. "Pairwise tests of equal forecast accuracy (in Russian)," Quantile, Quantile, issue 1, pages 53-62, September.
  • Handle: RePEc:qnt:quantl:y:2006:i:1:p:53-62
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    1. West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-1084, September.
    2. 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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