Based on Monte Carlo simulations using both stationary and nonstationary data, a model selection approach which uses the SIC to select a "best" group of forecasts in the context of forecast combination regressions dominates a number of other techniques, including the standard t-statistic...

In this paper, the authors provide some asymptotic results for the J-type test on non-nested hypotheses proposed by Davidson and MacKinnon (1981), in the context of I(1) time series.