The power of tests of predictive ability in the presence of structural breaks

DOI10.1016/j.jeconom.2003.12.011zbMath1337.62214OpenAlexW1971423075MaRDI QIDQ261880

Michael W. McCracken, Todd E. Clark

Publication date: 24 March 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2003.12.011

zbMATH Keywords

model selectionpowerGranger causalityforecast evaluation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07)

Related Items (10)

Selection of estimation window in the presence of breaks ⋮ Asymptotics for out of sample tests of Granger causality ⋮ A predictability test for a small number of nested models ⋮ Evaluating Direct Multistep Forecasts ⋮ In-sample tests of predictive ability: a new approach ⋮ Understanding models' forecasting performance ⋮ OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY ⋮ ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY ⋮ Change‐point monitoring in linear models ⋮ Nested forecast model comparisons: a new approach to testing equal accuracy

Cites Work

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• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
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• Tests of equal forecast accuracy and encompassing for nested models

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