Giacomini, Raffaella; White, Halbert - In: Econometrica 74 (2006) 6, pp. 1545-1578
We propose a framework for out-of-sample predictive ability testing and forecast selection designed for use in the realistic situation in which the forecasting model is possibly misspecified, due to unmodeled dynamics, unmodeled heterogeneity, incorrect functional form, or any combination of...