Tests for equal forecast accuracy under heteroskedasticity
(2024)
Journal Article
Harvey, D. I., Harvey, D. I., Leybourne, S. J., 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 effects of heteroskedasticity on statistical tests for equal forecast accuracy. In such a context, we propose two new Diebold–Mariano-type te... Read More about Tests for equal forecast accuracy under heteroskedasticity.