Hassani, Hossein; Silva, Sirimal Emmanuel - In: Econometrics : open access journal 3 (2015) 3, pp. 590-609
This paper introduces a complement statistical test for distinguishing between the predictive accuracy of two sets of forecasts. We propose a non-parametric test founded upon the principles of the Kolmogorov-Smirnov (KS) test, referred to as the KS Predictive Accuracy (KSPA) test. The KSPA test...
