Testing for Equal Average Forecast Accuracy in Possibly Unstable Environments
(2024)
Journal Article
Harvey, D. I., Leybourne, S. J., & Zu, Y. (2024). Testing for Equal Average Forecast Accuracy in Possibly Unstable Environments. Journal of Business and Economic Statistics, https://doi.org/10.1080/07350015.2024.2418835
We consider the issue of testing the null of equal average forecast accuracy in a model where the forecast error loss differential series has a potentially non-constant mean function over time. We show that when time variation is present in the loss... Read More about Testing for Equal Average Forecast Accuracy in Possibly Unstable Environments.