predictive ability tests to investigate the relative forecast performances of some models. Since volatilities are not observed …

predictive ability tests to investigate the relative forecast performances of some models. Since volatilities are not observed …

predictive ability tests to investigate the relative forecast performances of some models. Since volatilities are not observed …

We argue that the current framework for predictive ability testing (e.g.,West, 1996) is not necessarily useful for real … propose an alternative framework for out-of-sample comparison of predictive ability which delivers more practically relevant …

In this paper, an evaluation method is suggested for selecting one of two competing models based on certain predictive … ability ratings. The main focus is on the case of linear models that are not necessarily nested. In the context of such models …

, predictive ability, and value relevance. Whether the value relevance of TCI depends on its reporting location is also … of 86 firms to test for persistence, variability, and predictive ability, and 81 firms to test for value relevance of NI … stock returns better than TCI; no significant difference in the variability and predictive ability of NI and TCI; little …

, predictive ability, and value relevance. Whether the value relevance of TCI depends on its reporting location is also … of 86 firms to test for persistence, variability, and predictive ability, and 81 firms to test for value relevance of NI … stock returns better than TCI; no significant difference in the variability and predictive ability of NI and TCI; little …

choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over … a wide range of window sizes. We show that the tests proposed in the literature may lack the power to detect predictive … ability and might be subject to data snooping across different window sizes if used repeatedly. An empirical application shows …

forecasts of a variable. The tests are also valid in the broader context of model selection based on out-of-sample predictive … ability. We restrict attention to the case of density forecasts derived from non-nested parametric models, with known or …