Predictive ability with cointegrated variables
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Publication:5952956
DOI10.1016/S0304-4076(01)00086-0zbMath1066.62544OpenAlexW2128409250MaRDI QIDQ5952956
Valentina Corradi, Norman R. Swanson, Claudia Olivetti
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)00086-0
Related Items (12)
On the selection of forecasting models ⋮ Bootstrap conditional distribution tests in the presence of dynamic misspecification ⋮ Consistent ranking of volatility models ⋮ An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series ⋮ Asymptotics for out of sample tests of Granger causality ⋮ Evaluating Direct Multistep Forecasts ⋮ In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? ⋮ Statistical tests for multiple forecast comparison ⋮ Tests of equal forecast accuracy and encompassing for nested models ⋮ Predictive ability with cointegrated variables ⋮ Robust out-of-sample inference ⋮ A consistent test for nonlinear out of sample predictive accuracy.
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- Predictive ability with cointegrated variables
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