Busetti, Fabio; Marcucci, Juri - In: International Journal of Forecasting 29 (2013) 1, pp. 13-27
The size and power properties of several tests of equal Mean Square Prediction Errors (MSPE) and of Forecast Encompassing (FE) are evaluated, using Monte Carlo simulations, in the context of nested dynamic regression models. The highest size-adjusted power is achieved by the F-type test of...