Evaluation and Combination of Conditional Quantile Forecasts
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- 1 October 2005
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 23 (4) , 416-431
- https://doi.org/10.1198/073500105000000018
Abstract
We propose an encompassing test for comparing conditional quantile forecasts in an out-of-sample framework. Our test provides a basis for forecast combination when encompassing is rejected. Its cen...Keywords
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