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Volumn 30, Issue 1, 2012, Pages 25-29

Forecast rationality tests based on multi-horizon bounds: Comment

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Indexed keywords


EID: 84857079141     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.2012.634343     Document Type: Note
Times cited : (3)

References (11)
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    • Diebold, F.X.1
  • 2
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  • 3
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    • Giacomini, R.1    Rossi, B.2
  • 4
    • 0002254780 scopus 로고
    • The Evaluation of Economic Forecasts
    • ed. J. A. Mincer, New York: National Bureau of Economic Research, 26
    • Mincer, J., and Zarnowitz, V. (1969), "The Evaluation of Economic Forecasts," in Economic Forecasts and Expectations, ed. J. A. Mincer, New York: National Bureau of Economic Research, p. 81-111. [26]
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    • Mincer, J.1    Zarnowitz, V.2
  • 5
    • 0000706085 scopus 로고
    • A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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    • Newey, W., and West, K. (1987), "A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, 55, 703-708. [26]
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.1    West, K.2
  • 6
    • 34547725287 scopus 로고    scopus 로고
    • Properties of Optimal Forecasts Under Asymmetric Loss and Nonlinearity
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    • Patton, A., and Timmermann, A. (2007), "Properties of Optimal Forecasts Under Asymmetric Loss and Nonlinearity," Journal of Econometrics, 140, 884-918. [25]
    • (2007) Journal of Econometrics , vol.140 , pp. 884-918
    • Patton, A.1    Timmermann, A.2
  • 8
    • 33644635383 scopus 로고    scopus 로고
    • Optimal Tests for Nested Model Selection with Underlying Parameter Instabilities
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    • Rossi, B. (2005), "Optimal Tests for Nested Model Selection with Underlying Parameter Instabilities," Econometric Theory, 21, 962-990. [26]
    • (2005) Econometric Theory , vol.21 , pp. 962-990
    • Rossi, B.1
  • 9
    • 84857087355 scopus 로고    scopus 로고
    • Forecasting in Unstable Environments
    • eds. G. Elliott and A. Timmermann, North Holland: Elsevier. Forthcoming. [25]
    • Rossi, B. (2011), "Forecasting in Unstable Environments," in Handbook of Forecasting, Vol. 2, eds. G. Elliott and A. Timmermann, North Holland: Elsevier. Forthcoming. [25]
    • (2011) Handbook of Forecasting , vol.2
    • Rossi, B.1
  • 10
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    • Have Models' Forecasting Performance Changed Over Time, and When?
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    • Rossi, B., and Sekhposyan, T. (2010), "Have Models' Forecasting Performance Changed Over Time, and When?," International Journal of Forecasting, 26, 808-835. [25]
    • (2010) International Journal of Forecasting , vol.26 , pp. 808-835
    • Rossi, B.1    Sekhposyan, T.2


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