Busetti, Fabio; Marcucci, Juri; Veronese, Giovanni - Banca d'Italia - 2009
-type test of forecast encompassing proposed by Clark and McCracken (2001) displays overall the best properties. However its …The size and power properties of several tests of equal Mean Square Prediction Error (MSPE) and of Forecast … Encompassing (FE) are evaluated, using Monte Carlo simulations, in the context of dynamic regressions. For nested models, the F …