Diverging Tests of Equal Predictive Ability

DOI10.3982/ECTA17523zbMath1467.62178OpenAlexW3023778582MaRDI QIDQ4992146

Michael W. McCracken

Publication date: 7 June 2021

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta17523

zbMATH Keywords

predictioninferenceout-of-sample

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Statistical methods; economic indices and measures (91B82) Markov processes: hypothesis testing (62M02)

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