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Approximately normal tests for equal predictive accuracy in nested models
Clark, Todd E.; West, Kenneth D. - In: Journal of econometrics 138 (2007) 1, pp. 291-311
Persistent link: https://www.econbiz.de/10003451762
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Annals journal of econometrics: predictive methodology and application in economics finance : volume in honor of the accomplishments of Clive W. J. Granger
Swanson, Norman R.; Elliott, Graham; Ghysels, Eric; … - 2006
Persistent link: https://www.econbiz.de/10003376072
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Detecting big structural breaks in large factor models
Chen, Liang; Dolado, Juan J.; Gonzalo, Jesús - In: Journal of econometrics 180 (2014) 1, pp. 30-48
Persistent link: https://www.econbiz.de/10010379487
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Tests of equal forecast accuracy and encompassing for nested models
Clark, Todd E.; McCracken, Michael W. - In: Journal of econometrics 105 (2001) 1, pp. 85-110
Persistent link: https://www.econbiz.de/10001617146
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Pitfalls in testing for long run relationships
Gonzalo, Jesús - In: Journal of econometrics 86 (1998) 1, pp. 129-154
Persistent link: https://www.econbiz.de/10001243864
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Rolling window selection for out-of-sample forecasting with time-varying parameters
Inoue, Atsushi; Lu, Jin; Rossi, Barbara - In: Journal of econometrics 196 (2017) 1, pp. 55-67
Persistent link: https://www.econbiz.de/10011743498
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Evaluating forecast performance with state dependence
Odendahl, Florens; Rossi, Barbara; Sekhposyan, Tatevik - In: Journal of econometrics 237 (2023) 2,3, pp. 1-31
Persistent link: https://www.econbiz.de/10014471799