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Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
Clark, Todd E.; West, Kenneth D. - In: Journal of econometrics 135 (2006) 1, pp. 155-186
Persistent link: https://www.econbiz.de/10007279941
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Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
Clark, Todd E.; West, Kenneth D. - In: Journal of econometrics 135 (2006) 1/2, pp. 155-186
Persistent link: https://www.econbiz.de/10003376081
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Approximately normal tests for equal predictive accuracy in nested models
Clark, Todd E.; West, Kenneth D. - In: Journal of econometrics 138 (2007) 1, pp. 291-311
Persistent link: https://www.econbiz.de/10003451762
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Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
West, Kenneth D. - In: Journal of econometrics 76 (1997) 1, pp. 171-191
Persistent link: https://www.econbiz.de/10001211363
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Encompassing tests when no model is encompassing
West, Kenneth D. - In: Journal of econometrics 105 (2001) 1, pp. 287-308
Persistent link: https://www.econbiz.de/10001617169
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Econometric analysis of present value models when the discount factor is near one
West, Kenneth D. - In: Journal of econometrics 171 (2012) 1, pp. 86-97
Persistent link: https://www.econbiz.de/10009686727
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Full- versus limited-information estimation of a rational-expectations model : some numerical comparisons
West, Kenneth D. - In: Journal of econometrics 33 (1986) 3, pp. 367-385
Persistent link: https://www.econbiz.de/10003705662
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The power of tests of predictive ability in the presence of structural breaks
Clark, Todd E.; Mccracken, Michael W. - In: Journal of econometrics 124 (2005) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10006749149
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Tests of equal forecast accuracy and encompassing for nested models
Clark, Todd E.; McCracken, Michael W. - In: Journal of econometrics 105 (2001) 1, pp. 85-110
Persistent link: https://www.econbiz.de/10001617146
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In-sample tests of predictive ability: A new approach
Clark, Todd E.; McCracken, Michael W. - In: Journal of econometrics 170 (2012) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10009996199