Robust Model Selection in Dynamic Models with an Application to Comparing Predictive Accuracy

Author:

Kiefer Nicholas M.,Choi Hwan-sik

Publisher

Elsevier BV

Reference8 articles.

1. A Method for Discriminating Between Models;A C Atkinson;Journal of the Royal Statistical Society, Series B,1970

2. Robust Nonnested Testing and the Demand for Money

3. Further results on tests of separate families of hypotheses;D Cox;Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability,1961

4. Several tests for model specification in the presence of alternative hypotheses;R Davidson;Econometric Theory and Methods,1981

5. Comparing Predictive Accuracy;F X Diebold;Journal of Business & Economic Statistics,1995

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