All Outputs (3)

Testing for Equal Average Forecast Accuracy in Possibly Unstable Environments (2024)
Journal Article
Harvey, D. I., Leybourne, S. J., & Zu, Y. (in press). Testing for Equal Average Forecast Accuracy in Possibly Unstable Environments. Journal of Business and Economic Statistics,

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.

A New Heteroskedasticity-Robust Test for Explosive Bubbles (2024)
Journal Article
Harvey, D. I., Leybourne, S. J., Taylor, A. M. R., & Zu, Y. (in press). A New Heteroskedasticity-Robust Test for Explosive Bubbles. Journal of Time Series Analysis,

We propose a new class of modified regression-based tests for detecting asset price bubbles designed to be robust to the presence of general forms of both conditional and unconditional heteroskedasticity in the price series. This modification, based... Read More about A New Heteroskedasticity-Robust Test for Explosive Bubbles.

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, 39(5), 850-869. 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.