This paper proposes a test for the conditional superior predictive ability (CSPA) of a family of forecast methods with respect to a benchmark. The test is functional in nature: Under the null hypothesis, the benchmark's conditional expected loss is no more than those of the competitors,...

Correct specification of a conditional quantile model implies that a particular conditional moment is equal to zero. We nonparametrically estimate the conditional moment function via series regression and test whether it is identically zero using uniform functional inference. Our approach is...

This paper proposes a new model selection test for the statistical comparison of semi/non-parametric models based on a general quasi-likelihood ratio criterion. An important feature of the new test is its uniformly exact asymptotic size in the overlapping nonnested case, as well as in the easier...