Garratt, Anthony; Koop, Gary; Mise, Emi; Vahey, Shaun P. - 2007
the forecast error is the actual realization minus the mean
of the predictive distribution). All results are presented … the test
statistic no longer has a standard normal distribution (see Clark and McCracken, 2007a).
But even without … distribution. But it is desirable to go beyond the mean and look at other
features of the predictive density. Accordingly, the …