Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics
We establish the equivalence between a commonly used out-of-sample test of equal predictive accuracy and the difference between two Wald statistics. This equivalence greatly simplifies the computational burden of calculating recursive out-of-sample tests and evaluating their critical values. Our results shed new light on many aspects of the test and establishes certain weaknesses associated with using out-of-sample forecast comparison tests to conduct inference about nested regression models.
Year of publication: |
2012
|
---|---|
Authors: | Hansen, Peter Reinhard ; Timmermann, Allan |
Institutions: | Department of Economics, European University Institute |
Subject: | http://cadmus.eui.eu/bitstream/handle/1814/24275/ECO_2012_24.pdf |
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