Giacomini, Raffaella; Rossi, Barbara - Duke University, Department of Economics - 2008
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Keywords: Predictive Ability Testing, Instability, Structural Change, Forecast Evaluation
Acknowledgments: We thank Kirstin … development of tests of overall predictive ability such as Diebold and Mariano
(1995), West (1996), McCracken (2000), Clark and …
hypothesis that the two models have equal predictive ability.
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performance as the out-of-sample MSFE differences computed over …