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TESTS OF EQUAL FORECAST ACCURACY FOR OVERLAPPING MODELS
Clark, Todd E.; Mccracken, Michael W. - In: Journal of Applied Econometrics 29 (2014) 3, pp. 415-430
SUMMARY This paper examines the asymptotic and finite‐sample properties of tests of equal forecast accuracy when the models being compared are overlapping in the sense of Vuong (Econometrica 1989; <b>57</b>: 307–333). Two models are overlapping when the true model contains just a subset of variables...
Persistent link: https://www.econbiz.de/10011006359
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The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence
Clark, Todd E.; Mccracken, Michael W. - In: Journal of money, credit and banking : JMCB 38 (2006) 5, pp. 1127-1148
Persistent link: https://www.econbiz.de/10007285792
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The power of tests of predictive ability in the presence of structural breaks
Clark, Todd E.; Mccracken, Michael W. - In: Journal of econometrics 124 (2005) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10006749149
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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/10006772538