Busetti, Fabio; Marcucci, Juri; Veronese, Giovanni - Banca d'Italia - 2009
Encompassing (FE) are evaluated, using Monte Carlo simulations, in the context of dynamic regressions. For nested models, the F … persistent data. A similar setup is then used to analyze the case of non-nested models. Again it is found that FE tests have a … application evaluates the predictive ability of nested and non-nested models for GDP in Italy and the euro-area. …