This paper considers simulation-based procedures to compute the Wald encompassing and the Cox test statistics for non-nested models. These simulation estimation procedures are applied to both the encompassing contrast and its covariance matrix in the case of a Wald non-nested test statistic, and...

The encompassing principle has been carefully and precisely defined in various contexts, since its first appearance in the 1980s literature in numerous papers by Hendry, Mizon and Richard. Since then, several distinct notions of encompassing have been proposed and still coexist in the...

Although out-of-sample forecast performance is often deemed to be the 'gold standard' of evaluation, it is not in fact a good yardstick for evaluating models in general. The arguments are illustrated with reference to a recent paper by Carruth, Hooker and Oswald ["Review of Economics and...