Evaluating Direct Multistep Forecasts
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Publication:5719300
DOI10.1080/07474930500405683zbMath1080.62049OpenAlexW2058791552MaRDI QIDQ5719300
Todd E. Clark, Michael W. McCracken
Publication date: 18 January 2006
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930500405683
Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)
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Cites Work
- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- The power of tests of predictive ability in the presence of structural breaks
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- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- A consistent test for nonlinear out of sample predictive accuracy.
- Forecasting Performance of Information Criteria with Many Macro Series
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Stochastic Limit Theory
- Recent developments in bootstrapping time series
- In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
- Asymptotic Inference about Predictive Ability
- Tests of equal forecast accuracy and encompassing for nested models
- Predictive ability with cointegrated variables
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