Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics

DOI10.3982/ECTA10581zbMath1410.62117MaRDI QIDQ4614327

Peter Reinhard Hansen, Allan G. Timmermann

Publication date: 30 January 2019

Published in: Econometrica (Search for Journal in Brave)

zbMATH Keywords

testingnested modelsout-of-sample forecast evaluation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) General nonlinear regression (62J02)

Related Items (3)

Comparing forecasting performance in cross-sections ⋮ Tests of equal accuracy for nested models with estimated factors ⋮ Conditional rotation between forecasting models

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