Robledo, Carlos W.; Zapata, Hector O.; McCracken, Michael - Agricultural and Applied Economics Association - AAEA - 2001
Two asymptotically valid out-of-sample MSE tests have been developed by Diebold-Mariano (1995) and Stock-Watson (1999). The empirical usefulness of the tests is illustrated through a U.S. wheat model estimated with fixed, recursive and rolling forecasting schemes. Bootstrap methods are adopted...
