Finite-sample properties of tests for equal forecast accuracy

This publication has 9 references indexed in Scilit:

• Testing the equality of prediction mean squared errors
  International Journal of Forecasting, 1997
• Asymptotic Inference about Predictive Ability
  Econometrica, 1996
• Automatic Lag Selection in Covariance Matrix Estimation
  The Review of Economic Studies, 1994
• Encompassing the Forecasts of U.S. Trade Balance Models
  The Review of Economics and Statistics, 1993
• The distribution of the Theil U-statistic in bivariate normal populations
  Economics Letters, 1992
• The small-sample performance of the information-matrix test
  Journal of Econometrics, 1990
• Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period
  The Journal of Finance, 1988
• Small sample properties of alternative forms of the Lagrange Multiplier test
  Economics Letters, 1983
• Maximum Likelihood Estimation of Misspecified Models
  Econometrica, 1982