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West, Kenneth D. - 2006

This chapter summarizes recent literature on asymptotic inference about forecasts. Both analytical and simulation based methods are discussed. The emphasis is on techniques applicable when the number of competing models is small. Techniques applicable when a large number of models is compared to...

Persistent link: https://www.econbiz.de/10014023703

Cross-sectional expected returns : new Fama-MacBeth regressions in the era of machine learning

Han, Yufeng; He, Ai; Rapach, David E.; Zhou, Guofu - In: Review of finance : journal of the European Finance … 28 (2024) 6, pp. 1807-1831

Persistent link: https://www.econbiz.de/10015357602

Testing interval forecasts : a GMM-based approach

Dumitrescu, Elena-Ivona; Hurlin, Christophe; Madkour, Jaouad - In: Journal of forecasting 32 (2013) 2, pp. 97-110

Persistent link: https://www.econbiz.de/10009758695

Exploiting ergodicity in forecasts of corporate profitability

Mundt, Philipp; Alfarano, Simone; Milaković, Mishael - In: Journal of economic dynamics & control 111 (2020), pp. 1-28

Persistent link: https://www.econbiz.de/10012501441

Exploiting ergodicity in forecasts of corporate profitability

Mundt, Philipp; Alfarano, Simone; Milaković, Mishael - 2019

Theory suggests that competition tends to equalize profit rates through the process of capital reallocation, and …

Persistent link: https://www.econbiz.de/10011988645

Combining p-values for multivariate predictive ability testing

Spreng, Lars; Urga, Giovanni - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 765-777

Persistent link: https://www.econbiz.de/10014448433

Tests for forecast encompassing when forecasts depend on estimated regression parameters

West, Kenneth D. - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 1, pp. 29-33

Persistent link: https://www.econbiz.de/10001543433

Tests for forecast encompassing when forecasts depend on estimated regression parameters

West, Kenneth D. - 1999

Persistent link: https://www.econbiz.de/10001408167

Verbesserung der Vergleichbarkeit von Schätzgüteergebnissen von Insolvenzprognosestudien

Bemmann, Martin (contributor) - 2005

Persistent link: https://www.econbiz.de/10003079808

Is the time-varying parameter model the preferred approach to tourism demand forecasting? : statistical evidence

Shen, Shujie; Li, Gang; Song, Haiyan - In: Advances in tourism economics : new developments, (pp. 107-120). 2009

Persistent link: https://www.econbiz.de/10003943728