Improved tests for forecast comparisons in the presence of instabilities
Of interest is comparing the out-of-sample forecasting performance of two competing models in the presence of possible instabilities. To that effect, we suggest using simple structural change tests, sup-Wald and UDmax for changes in the mean of the loss differences. It is shown that Giacomini and Ro...
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| Format: | article |
| Language: | eng |
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2017
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| Online Access: | http://hdl.handle.net/10071/12874 |
| Country: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/12874 |