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
Tests for multiple forecast encompassing
β Scribed by David Harvey; Paul Newbold
- Publisher
- John Wiley and Sons
- Year
- 2000
- Tongue
- English
- Weight
- 141 KB
- Volume
- 15
- Category
- Article
- ISSN
- 0883-7252
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