European University Institute Library

Equivalence between out-of-sample forecast, comparisons and Wald statistics, Peter Reinhard Hansen, Allan Timmermann

eng

We establish the equivalence between a commonly used out-of-sample test of equal predictive accuracy and the difference between two Wald statistics. This equivalence greatly simplifies the computational burden of calculating recursive out-of-sample tests and evaluating their critical values. Our results shed new light on many aspects of the test and establishes certain weaknesses associated with using out-of-sample forecast comparison tests to conduct inference about nested regression models

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non fiction

Equivalence between out-of-sample forecast

827952981

Peter Reinhard Hansen, Allan Timmermann

EUI working papers. ECO, 2012/24EUI papers

comparisons and Wald statistics