Testing for State-Dependent Predictive Ability
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Alessandro Casini, 2018. "Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework," Papers 1803.10883, arXiv.org.
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More about this item
KeywordsForecast Evaluation; Testing; Regime Switching; Structural Change;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2017-09-17 (All new papers)
- NEP-ECM-2017-09-17 (Econometrics)
- NEP-FOR-2017-09-17 (Forecasting)
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