Reality Checks and Nested Forecast Model Comparisons
نویسندگان
چکیده
منابع مشابه
Reality Checks and Nested Forecast Model Comparisons
This paper develops a novel and e¤ective bootstrap method for simulating asymptotic critical values for tests of equal forecast accuracy and encompassing among many nested models. The bootstrap, which combines elements of xed regressor and wild bootstrap methods, is simple to use. We rst derive the asymptotic distributions of tests of equal forecast accuracy and encompassing applied to foreca...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1687219