Comparing predictive accuracy in small samples
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- TAKAMIZAWA, Hideyuki, 2017. "A Term Structure Model of Interest Rates with Quadratic Volatility," Working Paper Series G-1-18, Hitotsubashi University Center for Financial Research.
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- Harvey, David I. & Leybourne, Stephen J. & Whitehouse, Emily J., 2017.
"Forecast evaluation tests and negative long-run variance estimates in small samples,"
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- David I. Harvey & Stephen J. Leybourne & Emily J. Whitehouse, "undated". "Forecast evaluation tests and negative long-run variance estimates in small samples," Discussion Papers 17/03, University of Nottingham, Granger Centre for Time Series Econometrics.
More about this item
KeywordsDiebold and Mariano test; long run variance estimation; fixed-b and fixed-m asymptotic theory; SPF.;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-09-26 (All new papers)
- NEP-ECM-2015-09-26 (Econometrics)
- NEP-FOR-2015-09-26 (Forecasting)
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