Robust out-of-sample inference

DOI10.1016/S0304-4076(00)00022-1zbMath0964.62093MaRDI QIDQ1841187

Michael W. McCracken

Publication date: 19 July 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

forecastingmodel comparisonforecast evaluation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Related Items (21)

On the selection of forecasting models ⋮ Bootstrap conditional distribution tests in the presence of dynamic misspecification ⋮ Testing conditional asymmetry: a residual-based approach ⋮ Heterogeneous beliefs, regret, and uncertainty: the role of speculation in energy price dynamics ⋮ Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series ⋮ Distribution of test statistics under parameter uncertainty for time series data: an application to testing skewness, kurtosis and normality ⋮ Predicting the yield curve using forecast combinations ⋮ Asymptotic inference about predictive accuracy using high frequency data ⋮ ROBUST FORECAST COMPARISON ⋮ Asymptotics for out of sample tests of Granger causality ⋮ Backtesting portfolio value‐at‐risk with estimated portfolio weights ⋮ Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty ⋮ Segmenting mean-nonstationary time series via trending regressions ⋮ Statistical tests for multiple forecast comparison ⋮ Tests of equal forecast accuracy and encompassing for nested models ⋮ Predictive ability with cointegrated variables ⋮ Editorial. Annals issue on forecasting -- guest editors' introduction ⋮ Understanding models' forecasting performance ⋮ Change‐point monitoring in linear models ⋮ A consistent test for nonlinear out of sample predictive accuracy. ⋮ Conditional rotation between forecasting models

Cites Work

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• A Reality Check for Data Snooping
• Asymptotic Inference about Predictive Ability
• Prediction with a Generalized Cost of Error Function
• Predictive ability with cointegrated variables

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