In-sample tests of predictive ability: a new approach

DOI10.1016/j.jeconom.2010.09.012zbMath1443.62298OpenAlexW3121266216MaRDI QIDQ528013

Michael W. McCracken, Todd E. Clark

Publication date: 12 May 2017

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

Full work available at URL: http://research.stlouisfed.org/wp/2009/2009-051.pdf

zbMATH Keywords

predictabilityforecast accuracyin-sample

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Parametric hypothesis testing (62F03)

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Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• The power of tests of predictive ability in the presence of structural breaks
• On the selection of forecasting models
• Pre-test procedures and forecasting in the regression model under restrictions
• The Essential Completeness of the Class of Generalized Sequential Probability Ratio Tests
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A Reality Check for Data Snooping
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• Computing the distribution of quadratic forms in normal variables
• A Test of the Mean Square Error Criterion for Restrictions in Linear Regression
• Unnamed Item

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