Tests for Equal Forecast Accuracy Under Heteroskedasticity
(2024)
Journal Article
Harvey, D. I., Leybourne, S. J., & Zu, Y. (2024). Tests for Equal Forecast Accuracy Under Heteroskedasticity. Journal of Applied Econometrics, https://doi.org/10.1002/jae.3050
Heteroskedasticity is a common feature in empirical time series analysis, and in this paper we consider the e¤ects of heteroskedasticity on statistical tests for equal forecast accuracy. In such a context, we propose two new Diebold-Mariano-type test... Read More about Tests for Equal Forecast Accuracy Under Heteroskedasticity.