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~person:"Jin, Sainan"
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Jin, Sainan
Croux, Christophe
65
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46
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27
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ECONIS (ZBW)
13
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1
Robust forecast superiority testing with an application to assessing pools of expert forecasters
Corradi, Valentina
;
Jin, Sainan
;
Swanson, Norman R.
- In:
Journal of applied econometrics
38
(
2023
)
4
,
pp. 596-622
Persistent link: https://www.econbiz.de/10014288029
Saved in:
2
Robust Forecast Superiority Testing with an Application to Assessing Pools of Expert Forecasters
Corradi, Valentina
-
2020
We develop a forecast superiority testing methodology which is robust to the choice of loss function. Following Jin, Corradi and Swanson (JCS: 2017), we rely on a mapping between generic loss forecast evaluation and stochastic dominance principles. However, unlike JCS tests, which are not...
Persistent link: https://www.econbiz.de/10012841490
Saved in:
3
Robust Forecast Comparison
Jin, Sainan
-
2016
, Maasoumi and Whang (2005). The asymptotic null distributions of our test statistics are nonstandard, and resampling
procedures
…
Persistent link: https://www.econbiz.de/10013004747
Saved in:
4
Robust forecast comparison
Jin, Sainan
;
Corradi, Valentina
;
Swanson, Norman R.
- In:
Econometric theory
33
(
2017
)
6
,
pp. 1306-1351
Persistent link: https://www.econbiz.de/10011810422
Saved in:
5
Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels
Sun, Yixiao
-
2010
Using the power kernels of Phillips, Sun and Jin (2006, 2007), we examine the large sample asymptotic properties of the t-test for different choices of power parameter (rho). We show that the nonstandard fixed-rho limit distributions of the t-statistic provide more accurate approximations to the...
Persistent link: https://www.econbiz.de/10013148975
Saved in:
6
Robust forecast comparison
Jin, Sainan
;
Corradi, Valentina
;
Swanson, Norman R.
-
2015
(2005). The asymptotic null distributions of our test statistics are nonstandard, and resampling
procedures
are used to …
Persistent link: https://www.econbiz.de/10010527192
Saved in:
7
Optimal bandwidth selection in heteroskedasticity-autocorrelation robust testing
Sun, Yixiao
(
contributor
);
Phillips, Peter C. B.
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003468430
Saved in:
8
Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
Sun, Yixiao
-
2006
In time series regressions with nonparametrically autocorrelated errors, it is now standard empirical practice to use kernel-based robust standard errors that involve some smoothing function over the sample autocorrelations. The underlying smoothing parameter b, which can be defined as the ratio...
Persistent link: https://www.econbiz.de/10012783449
Saved in:
9
A new approach to robust inference in cointegration
Jin, Sainan
(
contributor
);
Phillips, Peter C. B.
(
contributor
)
-
2005
Persistent link: https://www.econbiz.de/10003468420
Saved in:
10
Optimal bandwidth selection in heteroskedasticity-autocorrelation robust testing
Sun, Yixiao
(
contributor
);
Phillips, Peter C. B.
(
contributor
)
-
2005
Persistent link: https://www.econbiz.de/10003761924
Saved in:
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