Encompassing tests when no model is encompassing

DOI10.1016/S0304-4076(01)00078-1zbMath1040.62110OpenAlexW1969494027MaRDI QIDQ5952034

Kenneth D. West

Publication date: 2001

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00078-1

zbMATH Keywords

model selection\(V\)-procedureforecast combinationmisspecificationmisspecified modelsnon-nested modelsout of sample

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Asymptotic properties of parametric tests (62F05)

Related Items

Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification, Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns, Tests of equal forecast accuracy and encompassing for nested models

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