Comparing the accuracy of density foreca
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Lucio Sarno; Giorgio Valente
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Article
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2004
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John Wiley and Sons
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English
β 153 KB
## Abstract A rapidly growing literature emphasizes the importance of evaluating the forecast accuracy of empirical models on the basis of density (as opposed to point) forecasting performance. We propose a test statistic for the null hypothesis that two competing models have equal density forecast