A Test for Superior Predictive Ability
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- 1 October 2005
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 23 (4) , 365-380
- https://doi.org/10.1198/073500105000000063
Abstract
We propose a new test for superior predictive ability. The new test compares favorably to the reality check (RC) for data snooping, because it is more powerful and less sensitive to poor and irrele...Keywords
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