on MSFE, bias, and forecast encompassing statistics and tests. These results highlight the importance of incorporating …

We investigate whether and to what extent multiple encompassing tests may help determine weights for forecast averaging …

Encompassing (FE) are evaluated, using Monte Carlo simulations, in the context of dynamic regressions. For nested models, the F …-type test of forecast encompassing proposed by Clark and McCracken (2001) displays overall the best properties. However its …

We investigate whether and to what extent multiple encompassing tests may help determine weights for forecast averaging …

-parametric Indirect Inference (SII). We introduce a new notion of Partial Encompassing which lays the emphasis on Pseudo True Values of … Interest. The main difference with the older notion of encompassing is that some components of the pseudo-true value of … asymptotic probability distributions of our SII estimators as well as Wald Encompassing Tests (WET) and advocate the use of …