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Found 3 papers, 0 papers with code
Direct Multi-Step Forecast based Comparison of Nested Models via an Encompassing Test
We introduce a novel approach for comparing out-of-sample multi-step forecasts obtained from a pair of nested models that is based on the forecast encompassing principle.
Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates
This paper is concerned with detecting the presence of out of sample predictability in linear predictive regressions with a potentially large set of candidate predictors.
A Novel Approach to Predictive Accuracy Testing in Nested Environments
We introduce a new approach for comparing the predictive accuracy of two nested models that bypasses the difficulties caused by the degeneracy of the asymptotic variance of forecast error loss differentials used in the construction of commonly used predictive comparison statistics.
