The asymptotic distributions of the recursive out-of-sample forecast accuracy test statistics depend on stochastic … involves more than one predictor and heteroskedasticity is present. We first show both the recursive F-test and its Wald …

done in the recent proposal of Patton and Timmermann (2010). But their test is only a test for the direction of … increasing under the alternative. When the relation is non-monotonic or weakly increasing, the test can break down and falsely …

done in the recent proposal of Patton and Timmermann (2010). But their test is only a test for the direction of … increasing under the alternative. When the relation is non-monotonic or weakly increasing, the test can break down and falsely …

ongoing discussion how to estimate the probability of back-test overfitting and adjust the expected performance indicators … that consistently yields the desired robust estimates based on an MCMC simulation. The approach is tested on a class of …

predictability in postwar US data, thus reconciling the diverging conclusions in the literature. Our findings are robust to the …

appropriate for the data at hand, our tests exploit the efficiency gains possible. Moreover, we show by simulation that our test …

We suggest a robust form of conditional moment test as a constructive test for functional misspecification in … multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not … function induces high power against various alternatives. We illustrate how to adapt the framework to test also out …

The paper highlights causal inference based on econometric measurement in real-time data environments. Each state has a … Inference is introduced for real-time data environments …