performance of the tests are compared via Monte Carlo experiments with existing equal and superior predictive ability tests for … forecasts when critical values are bootstrapped. The experiments on the power reveal that the superior predictive ability test … performs last while the ranking between the quasi likelihood-ratio test and the other equal predictive ability tests depends on …

new framework tests for conditional predictive ability rather than unconditional predictive ability, which has been the …

performance of the tests are compared via Monte Carlo experiments with existing equal and superior predictive ability tests for … forecasts when critical values are bootstrapped. The experiments on the power reveal that the superior predictive ability test … performs last while the ranking between the quasi likelihood-ratio test and the other equal predictive ability tests depends on …

latent signal that is specified as a dynamic stochastic process with fixed predictors. The out-of-sample predictive ability … of the models is compared between each other by using a variety of loss functions and predictive ability tests. We find …