We establish the equivalence between a commonly used out-of-sample test of equal predictive accuracy and the difference … between two Wald statistics. This equivalence greatly simpli?es the computational burden of calculating recursive out-of-sample … weaknesses associated with using out-of-sample forecast comparison tests to conduct inference about nested regression models. …

in an out-of-sample context. Price forecasts from four widely-recognized outlook programs are combined with futures … for Illinois/Purdue and 1975.I-2010.IV for Iowa, Missouri, and USDA forecasts, which allow for a relatively long out-of-sample …

dynamics, resulting in superior out-of-sample forecast performance of STAR over the linear autoregressive models. The advantage …

its determinants. Using rolling regressions and out-of-sample predictions, it is shown that a model featuring currency …

variables included. In a typical stock-bond strategic asset allocation problem for U.K. data, we compute the out-of-sample …. We conclude that most VARs cannot produce portfolio rules, hedging demands, or (net of transaction costs) out-of-sample …

This paper analyzes the real-time out-of-sample performance of three kinds of combination schemes. While for each the …