Comparing forecast accuracy: A Monte Carlo investigation

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Forecasting: theory and practice (2020, background): “; Clark and McCracken, 2001). Though it has a few more assumptions, forecast encompassing tests in certain contexts might be preferable to the mean square prediction error tests a la Diebold-Mariano (Busetti and Marcucci, 2013).` Another stream of statistical tests that are available looks at multip”
Investor sentiment aligned: : A powerful predictor of stock returns (2015, methodology): “In addition, out-of-sample tests are much less affected by the small-sample size distortions such as the Stambaugh bias (Busetti and Marcucci, 2012) and the look-ahead bias concern of the PLS approach (Kelly and Pruitt, 2013, 2014).”
The Predictive Power of Google Searches in Forecasting Unemployment (2012, background): “West (2006) provides a recent survey of the tests of equal forecast accuracy, while Busetti and Marcucci (2013) provide extensive Monte Carlo evidence on the best tests of equal forecast accuracy or forecast encompassing to be used by the practitioners in any specific forecasting framework.”
Quantile aggregation of density forecasts (2014, unknown): “Qα (πt+1) = β0 (α) + β1 (α) πt + β2 (α) yt + β3(4)oilt + β4ext, (2)”