메뉴 건너뛰기




Volumn 62, Issue 2, 2004, Pages 161-184

Robust tests of predictive accuracy

Author keywords

Deviations from a model; Forecasting; Influence function; Robustness of power; Robustness of size

Indexed keywords


EID: 77957749124     PISSN: 00261424     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article
Times cited : (5)

References (22)
  • 2
    • 0003047270 scopus 로고    scopus 로고
    • Tests of equal forecast accuracy and encompassing for nested models
    • Clark, T.E. and McCracken, M.W. (2001) Tests of equal forecast accuracy and encompassing for nested models, Journal of Econometrics, 105, 85-110.
    • (2001) Journal of Econometrics , vol.105 , pp. 85-110
    • Clark, T.E.1    McCracken, M.W.2
  • 3
    • 0035390183 scopus 로고    scopus 로고
    • Robust evaluation of fixed-event forecast rationality
    • Clements, M.P. and Taylor, N. (2001) Robust evaluation of fixed-event forecast rationality, Journal of Forecasting, 20, 285-295.
    • (2001) Journal of Forecasting , vol.20 , pp. 285-295
    • Clements, M.P.1    Taylor, N.2
  • 4
    • 0346389567 scopus 로고    scopus 로고
    • A consistent test for nonlinear out of sample predictive accuracy
    • Corradi, V. and Swanson, N.R. (2002) A consistent test for nonlinear out of sample predictive accuracy, Journal of Econometrics, 110, 353-381.
    • (2002) Journal of Econometrics , vol.110 , pp. 353-381
    • Corradi, V.1    Swanson, N.R.2
  • 14
    • 0002507239 scopus 로고    scopus 로고
    • On the robustness of size and book-to-market in cross- sectional regressions
    • Knez, P.J. and Ready, M.J. (1997) On the Robustness of Size and Book-to-Market in Cross- Sectional Regressions, Journal of Finance, 52, 1355-1382.
    • (1997) Journal of Finance , vol.52 , pp. 1355-1382
    • Knez, P.J.1    Ready, M.J.2
  • 15
    • 0001909961 scopus 로고    scopus 로고
    • Robust out of sample inference
    • McCracken, M.W. (2000) Robust out of sample inference, Journal of Econometrics, 99, 195-223.
    • (2000) Journal of Econometrics , vol.99 , pp. 195-223
    • McCracken, M.W.1
  • 17
    • 0000502376 scopus 로고
    • On the asymptotic normality of statistics with estimated parameters
    • Randles, R. (1982) On the asymptotic normality of statistics with estimated parameters, Annals of Statistics, 10, 462-474.
    • (1982) Annals of Statistics , vol.10 , pp. 462-474
    • Randles, R.1
  • 18
    • 0005865794 scopus 로고    scopus 로고
    • Data-snooping, technical trading rules performance and the bootstrap
    • Sullivan R., Timmerman, A., and White, H. (1999) Data-snooping, technical trading rules performance and the bootstrap, Journal of Finance, 54, 1647-1692.
    • (1999) Journal of Finance , vol.54 , pp. 1647-1692
    • Sullivan, R.1    Timmerman, A.2    White, H.3
  • 19
    • 0030353235 scopus 로고    scopus 로고
    • Asymptotic inference about predictive ability
    • West, K.D. (1996) Asymptotic inference about predictive ability, Econometrica, 64, 1067-1084.
    • (1996) Econometrica , vol.64 , pp. 1067-1084
    • West, K.D.1
  • 20
    • 0346882071 scopus 로고    scopus 로고
    • Ecompassing tests when no model is encompassing
    • West, K.D. (2001) Ecompassing tests when no model is encompassing, Journal of Econometrics, 105, 287-308.
    • (2001) Journal of Econometrics , vol.105 , pp. 287-308
    • West, K.D.1
  • 21
    • 0346362776 scopus 로고    scopus 로고
    • Regression based tests of predictive ability
    • West, K. and McCracken, M.W. (1998) Regression based tests of predictive ability, International Economic Review, 39, 817-840.
    • (1998) International Economic Review , vol.39 , pp. 817-840
    • West, K.1    McCracken, M.W.2
  • 22
    • 0000028873 scopus 로고    scopus 로고
    • A reality check for data snooping
    • White, H. (2000) A Reality Check For Data Snooping, Econometrica, 69, 1097-1127.
    • (2000) Econometrica , vol.69 , pp. 1097-1127
    • White, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.