Hoogerheide, Lennart F.; Ravazzolo, Francesco; Dijk, … - Tinbergen Instituut - 2011
Patton and Timmermann (2012, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', <I>Journal of Business & Economic Statistics</I>, 30(1) 1-17) propose a set of useful tests for forecast rationality or optimality under squared error loss, including an easily implemented test based on a...</i>