Komunjer, Ivana; Owyang, Michael T. - In: The Review of Economics and Statistics 94 (2012) 4, pp. 1066-1080
In this paper, we propose a new family of multivariate loss functions to test the rationality of vector forecasts without assuming independence across variables. When only one variable is of interest, the loss function reduces to the flexible asymmetric family proposed by Elliott, Komunjer, and...