Working Paper Revision
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 one under the null.
Keywords: inference; out-of-sample; prediction;
JEL Classification: C12; C52; C53;
https://doi.org/10.20955/wp.2019.018
Status: Published in Econometrica
Access Documents
File(s):
File format is application/pdf
https://s3.amazonaws.com/real.stlouisfed.org/wp/2019/2019-018.pdf
Description: Full text
Authors
Bibliographic Information
Provider: Federal Reserve Bank of St. Louis
Part of Series: Working Papers
Publication Date: 2020-03-09
Number: 2019-018
Related Works
- Working Paper Revision: Diverging Tests of Equal Predictive Ability