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
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Provider: Federal Reserve Bank of St. Louis
Part of Series: Working Papers
Publication Date: 2020-03-09
Number: 2019-018
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