Diverging Tests of Equal Predictive Ability

Michael McCracken

Econometrica, 2020, vol. 88, issue 4, 1753-1754

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.

Date: 2020
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Citations: View citations in EconPapers (8)

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https://doi.org/10.3982/ECTA17523

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Working Paper: Diverging Tests of Equal Predictive Ability (2020)
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