The size and power properties of several tests of equal Mean Square Prediction Errors (MSPE) and of Forecast Encompassing (FE) are evaluated, using Monte Carlo simulations, in the context of nested dynamic regression models. The highest size-adjusted power is achieved by the F-type test of...

A time-varying probability density function, or the corresponding cumulative distribution function, may be estimated nonparametrically by using a kernel and weighting the observations using schemes derived from time series modelling. The parameters, including the bandwidth, may be estimated by...