We propose a class of statistics where the direction of one of the alternatives is incorporated. It is obtained by modifying a class of multivariate tests with elliptical confidence regions, not necessarily arising from normal-based distribution theory. The resulting statistics are easy to...

Forecasters and applied econometricians are often interested in comparing the predictive accuracy of nested competing models. A leading example of nestedness is when predictive ability is equated with "out-of-sample Granger causalityʺ. In particular, it is often of interest to assess whether...

In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related test statistics are often constructed using logged data, even though there is often no clear reason, at least from an empirical perspective, why logs should be used rather than levels....

Forecasters and applied econometricians are often interested in comparing the predictive accuracy of nested competing models. A leading example of a context in which competing models are nested is when predictive ability is equated with "out-of-sample Granger causality". In particular, it is...

In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related tests statistics are often constructed using logged data, even though there is often no clear reason, at least from an empirical perspective, why logs should be used rather than levels....