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Out-of-sample tests of forecasting accuracy: an analysis and review

โœ Scribed by Leonard J. Tashman


Book ID
114174628
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
88 KB
Volume
16
Category
Article
ISSN
0169-2070

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This study examines the small-sample properties of some commonly used tests of equal forecast accuracy. The paper considers the size and power of dierent tests and the performance of dierent heteroscedasticity and autocorrelation-consistent (HAC) variance estimators. Monte Carlo experiments show tha