## Abstract We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the benchmark. Our procedures compare the benchmark to all the alternative models simultaneously rather than sequentially
โฆ LIBER โฆ
Forecast evaluation with shared data sets
โ Scribed by Ryan Sullivan; Allan Timmermann; Halbert White
- Book ID
- 114174716
- Publisher
- Elsevier Science
- Year
- 2003
- Tongue
- English
- Weight
- 599 KB
- Volume
- 19
- Category
- Article
- ISSN
- 0169-2070
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