Equivalence between out-of-sample forecast comparisons and Wald statistics
by Peter Reinhard Hansen and Allan Timmermann
| Year of publication: |
November 2015
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|---|---|
| Authors: | Hansen, Peter Reinhard ; Timmermann, Allan |
| Published in: |
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics. - [Wechselnde Erscheinungsorte] : [Wechselnde Verlage], ISSN 0012-9682, ZDB-ID 1798-X. - Vol. 83.2015, 6, p. 2485-2505
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| Subject: | Out-of-sample forecast evaluation | nested models | testing | Prognoseverfahren | Forecasting model | Theorie | Theory | Statistischer Test | Statistical test | Statistische Methode | Statistical method |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3982/ECTA10581 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011431548