This paper develops a statistically unbiased and simple method for measuring the difference of independent empirical distributions estimated by bootstrapping or other simulation approaches. This complete combinatorial method is compared with other unbiased and biased methods that have been...

In this paper we present a new asymptotically normal test for out-of-sample evaluation in nested models. Our approach is a simple modification of a traditional encompassing test that is commonly known as Clark and West test (CW). The key point of our strategy is to introduce an independent...

This letter evaluates the performance of auxiliary regression-based specification tests for parametric duration models estimated with censored data. The test using asymptotic critical values has poor size. Bootstrapping corrects the size problem but results in a biased power curve