Tests of Equal Predictive Ability With Real-Time Data
- 1 October 2009
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 27 (4) , 441-454
- https://doi.org/10.1198/jbes.2009.07204
Abstract
This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy applied to direct, multistep predictions from both nonnested and nested linear regression models....Keywords
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