Autori
HANSEN, Peter Reinhard
Timmerman, Allan

Titolo
Equivalence Between Out-of-Sample Forecast: Comparisons and Wald statistics
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 2012 - Fascicolo: 24 - Pagina iniziale: 1 - Pagina finale: 8

We establish the equivalence between a commonly used out-of-sample test of equal predictive accuracy and the difference between two Wald statistics. This equivalence greatly simplifies the computational burden of calculating recursive out-of-sample tests and evaluating their critical values. Our results shed new light on many aspects of the test and establishes certain weaknesses associated with using out-of-sample forecast comparison tests to conduct inference about nested regression models.




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