Diverging Tests of Equal Predictive Ability

Michael McCracken

No 2019-018, Working Papers from Federal Reserve Bank of St. Louis

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 one under the null.

Keywords: inference; out-of-sample; prediction (search for similar items in EconPapers)
JEL-codes: C12 C52 C53 (search for similar items in EconPapers)
Pages: 2
Date: 2019-07-29, Revised 2020-03-09
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Citations: View citations in EconPapers (4)

Published in Econometrica

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Journal Article: Diverging Tests of Equal Predictive Ability (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedlwp:2019-018

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DOI: 10.20955/wp.2019.018

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