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.





Esportazione dati in Refworks (solo per utenti abilitati)