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A modified Diebold-Mariano test for equal forecast accuracy with clustered dependence

Zhou, Jin; Li, Haiqi; Zhong, Wanling - In: Economics letters 207 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10013170014

Comparing predictive accuracy, twenty years later : a personal perspective on the use and abuse of Diebold-Mariano tests

Diebold, Francis X. - 2012

Persistent link: https://www.econbiz.de/10009631286

Forecast evaluation tests and negative long-run variance estimates in small samples

Harvey, David I.; Leybourne, Stephen James; Whitehouse, … - In: International journal of forecasting 33 (2017) 4, pp. 833-847

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Monitoring the direction of the short-term trend of economic indicators

Dagum, Estela Bee; Bianconcini, Silvia - In: Econometric reviews 42 (2023) 5, pp. 421-440

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Equivalence between out-of-sample forecast comparisons and Wald statistics

Hansen, Peter Reinhard; Timmermann, Allan - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 6, pp. 2485-2505

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Testing for monotonicity in expected asset returns

Romano, Joseph P.; Wolf, Michael - 2013 - This Version: January 2013

Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...

Persistent link: https://www.econbiz.de/10009747441