Maximum-Subsampling Test of Equal Predictive Ability-Reference-Cited by-同舟云学术

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Maximum-Subsampling Test of Equal Predictive Ability

Published:2024-02-26 Issue: Volume: Page:1-12
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Lan Wei¹,Lei Bo¹,Feng Long²,Tsai Chih-Ling³

Affiliation:

1. School of Statistics and Center of Statistical Research, Southwestern University of Finance and Economics, Chengdu, China

2. School of Statistics and Data Science, KLMDASR, LEBPS, and LPMC, Nankai University, Tianjin, China

3. Graduate School of Management, University of California, Davis, CA

Funder

National Key R&D Program of China

National Natural Science Foundation of China

Southwestern University of Finance and Economics

Fundamental Research Funds for the Central Universities

China National Key R&D Program

Shenzhen Wukong Investment Management Co. Ltd.

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2024.2311196

Reference34 articles.

1. Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors

2. Clark, T. E., and McCracken, M. W. (1999), “Granger Causality and Tests of Equal Forecast Accuracy and Encompassing,” Federal Reserve Bank of Kansas City, manuscript.

3. “Tests of Equal Forecast Accuracy and Encompassing for Nested Models,”;———;Journal of Econometrics,2001

4. ——— (2003), “Evaluating Long Horizon Forecasts,” University of Missouri, Manuscript.

5. “Evaluating Direct Multistep Forecasts,”;———;Econometric Reviews,2005

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