A consistent test for nonlinear out of sample predictive accuracy.

DOI10.1016/S0304-4076(02)00099-4zbMath1044.62118OpenAlexW3124078255MaRDI QIDQ1858975

Norman R. Swanson, Valentina Corradi

Publication date: 17 February 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(02)00099-4

zbMATH Keywords

tablesparameter estimation errornonlinear causalityconditional \(p\)-valueout of sample predictive accuracy

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05)

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