In-sample tests of predictive ability: A new approach
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DOI: 10.1016/j.jeconom.2010.09.012
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- Todd E. Clark & Michael W. McCracken, 2009. "In-sample tests of predictive ability: a new approach," Research Working Paper RWP 09-10, Federal Reserve Bank of Kansas City.
- Todd E. Clark & Michael W. McCracken, 2009. "In-sample tests of predictive ability: a new approach," Working Papers 2009-051, Federal Reserve Bank of St. Louis.
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Citations
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"Bagging weak predictors,"
International Journal of Forecasting, Elsevier, vol. 37(1), pages 237-254.
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- Eric Hillebrand & Manuel Lukas & Wei Wei, 2020. "Bagging Weak Predictors," Monash Econometrics and Business Statistics Working Papers 16/20, Monash University, Department of Econometrics and Business Statistics.
- Tom Boot & Andreas Pick, 2017. "A near optimal test for structural breaks when forecasting under square error loss," Tinbergen Institute Discussion Papers 17-039/III, Tinbergen Institute.
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International Journal of Forecasting, Elsevier, vol. 35(3), pages 1060-1071.
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More about this item
Keywords
Predictability; Forecast accuracy; In-sample;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
Statistics
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