Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis

Todd Clark and Kenneth West ()

Journal of Econometrics, 2006, vol. 135, issue 1-2, 155-186

Date: 2006
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Citations: View citations in EconPapers (349)

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Working Paper: Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:135:y:2006:i:1-2:p:155-186

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