A new technique for postsample model selection and validation
From MaRDI portal
Publication:1129270
DOI10.1016/S0165-1889(97)00085-7zbMath0899.90041OpenAlexW2056886634MaRDI QIDQ1129270
Publication date: 13 August 1998
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1889(97)00085-7
Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)
Related Items (4)
Asymptotics for out of sample tests of Granger causality ⋮ Estimating the long rate and its volatility ⋮ Tests of equal forecast accuracy and encompassing for nested models ⋮ Modelling long-run trends and cycles in financial time series data
Cites Work
- Unnamed Item
- Simulated power functions
- Some asymptotic theory for the bootstrap
- On the asymptotic accuracy of Efron's bootstrap
- Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy. With a comment by J. A. Hartigan and a rejoinder by the authors
- Prepivoting to reduce level error of confidence sets
- Advertising and Aggregate Consumption: An Analysis of Causality
This page was built for publication: A new technique for postsample model selection and validation
