Showing 1 - 10 of 17
Persistent link: https://www.econbiz.de/10014322137
This chapter summarizes recent literature on asymptotic inference about forecasts. Both analytical and simulation based …
Persistent link: https://www.econbiz.de/10014023703
Persistent link: https://www.econbiz.de/10014364826
Persistent link: https://www.econbiz.de/10015175860
unstable. Here, we provide a rigorous likelihood inference approach to determine t<sub>c</sub>, which takes into account the …
Persistent link: https://www.econbiz.de/10011514498
Persistent link: https://www.econbiz.de/10011882276
In this note we provide simulation evidence on the size and power of tests of predictive ability described in Giacomini and White (2006). Our goals are modest but non-trivial. First, we establish that there exist data generating processes that satisfy the null hypotheses of equal finite-sample...
Persistent link: https://www.econbiz.de/10011998061
Persistent link: https://www.econbiz.de/10011783924
Persistent link: https://www.econbiz.de/10011847312
Persistent link: https://www.econbiz.de/10011874346