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Econometrica
Article
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zbMATH Open
Article . 2020
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Econometrica
Article . 2020 . Peer-reviewed
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https://dx.doi.org/10.3982/ect...
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Diverging Tests of Equal Predictive Ability

Diverging tests of equal predictive ability
descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2020 English Publisher:The Econometric SocietyJournal:Econometrica, volume 88, pages 1,753-1,754 (issn: 0012-9682, Copyright policy )
Authors: McCracken, Michael W.;

doi: 10.3982/ecta17523

Diverging Tests of Equal Predictive Ability

Abstract

We investigate claims made in Giacomini and White (2006) and Diebold (2015) regarding the asymptotic normality of a test of equal predictive ability. A counterexample is provided in which, instead, the test statistic diverges with probability 1 under the null.

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Keywords

inference, out-of-sample, Markov processes: hypothesis testing, Statistical methods; economic indices and measures, prediction, Applications of statistics to economics, Inference from stochastic processes and prediction

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
9
Top 10%
Average
Top 10%
bronze