Encompassing tests when no model is encompassing

Journal of Econometrics

Volumn 105, Issue 1, 2001, Pages 287-308

  West, Kenneth D ^a  

^a UNIVERSITY OF WISCONSIN MADISON   (United States)

Author keywords

Forecast combination; Misspecification; Misspecified models; Model selection; Non nested models; Out of sample; V procedure

Indexed keywords

EID: 0346882071     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00078-1     Document Type: Article

References (23)

1. Chong, Y.Y., Hendry, D.F., 1986. Econometric evaluation of linear macro-economic models. Review of Economic Studies 53, 671-690.
2. Clemens, R.T., 1989. Combining forecasts: a review and annotated bibliography. International Journal of Forecasting 5, 559-583.
3. Cooper, R.L, 1972. The predictive performance of quarterly econometric models of the United States. In: Hickman, B (Ed.), Econometric Models of Cyclical Behavior. Vol. II. Columbia University Press, New York, pp. 813-925.
4. Cox, D.R., 1961. Tests of separate families of hypotheses. Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability. Vol. I, University of California Press, Berkeley, CA, pp. 105-123.
5. Cox, D.R., 1962. Further results on tests of separate families of hypotheses. Journal of the Royal Statistical Society Series B 24, 406-424.
6. Davidson, R., MacKinnon, J.G., 1981. Several tests for model specification in the presence of alternative hypotheses. Econometrica 49, 781-795.
7. Diebold, F.X., 1989. Forecast combination and encompassing: reconciling two divergent literatures. International Journal of Forecasting 5, 589-592.
8. Diebold, F.X., 1998. Elements of Forecasting. Southwestern College Publishing, Cincinnati.
9. Engle, R.F., Che-Hsiung Hong, Kane, A., 1990. Valuation of Variance Forecasts with Simulated Options Markets, NBER Working Paper No. 3350.
10. Ericsson, N.R., 1992. Parameter constancy, mean square forecast errors, and measuring forecast performance: an exposition, extensions, and illustration. Journal of Policy Modeling 14, 465-495.
11. Ericcson, N.R., Marquez, J., 1993. Encompassing the forecasts of US trade balance models. Review of Economics and Statistics 75, 19-31.
12. Fair, R.C., Shiller, R., 1990. Comparing information in forecasts from econometric models. American Economic Review 80, 375-389.
13. Ferreira, S., 1999. GARCH interest rate volatility: a cross-country empirical test. Manuscript, University of Wisconsin.
14. Godfrey, L.G., 1998. Tests of non-nested regression models: some results on small sample behaviour and the bootstrap. Journal of Econometrics 84, 59-74.
15. Godfrey, L.G., Pesaran, M.H., 1983. Tests of non-nested regression models: small sample adjustments and Monte Carlo evidence. Journal of Econometrics 21, 133-154.
16. Hansen, L.P., 1982. Large sample properties of generalized method of moments estimators. Econometrica 50, 1029-1054.
17. Kitamura, Y., 1997. Comparing misspecified dynamic econometric models using nonparametric likelihood. Manuscript, University of Wisconsin.
18. McAleer, M., 1995. The significance of testing empirical non-nested models. Journal of Econometrics 67, 149-171.
19. Mizon, G.E., Richard, J.F., 1986. The encompassing principle and its application to testing non-nested hypotheses. Econometrica 54, 657-678.
20. Stumborg, B., 1999. Estimating the impact of land use regulations on recreational property values in northern wisconsin. Manuscript, University of Wisconsin.
21. West, K.D., 1996. Asymptotic inference about predictive ability. Econometrica 64, 1067-1084.
22. West, K.D., McCracken, M.W., 1998. Regression based tests of predictive ability. International Economic Review 39, 817-840.
23. White, H., 1994. Estimation, Inference and Specification Analysis. Cambridge University Press, Cambridge, UK.