Hassani, Hossein; Silva, Sirimal Emmanuel - In: Econometrics : open access journal 3 (2015) 3, pp. 590-609
This paper introduces a complement statistical test for distinguishing between the predictive accuracy of two sets of … KS Predictive Accuracy (KSPA) test. The KSPA test is able to serve two distinct purposes. Initially, the test seeks to … accuracy of forecasts. We perform a simulation study for the size and power of the proposed test and report the results for …