Tests for multiple forecast encompassing

By David I. Harvey, P. Newbold. 2000

111 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/2e80180443572b36e625b8dd7672c3d1856c808b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Michael P. Clements
2. P. R. Hansen
3. David I. Harvey
4. Todd E. Clark
5. Asger Lunde
6. Andrew J. Patton
7. Marcelo C. Medeiros
8. David E. Rapach

In Management Science and Operations Research

1. P. R. Hansen
2. Michael P. Clements
3. David I. Harvey
4. Andrew J. Patton
5. Juri Marcucci
6. Rob J Hyndman
7. Marcelo C. Medeiros
8. Michael W. McCracken

Citations in the corpus

• Forecast Combination and Encompassing (2009, background): “two forecasts, but in general more than two forecasts may be combined, and the notion of forecast encompassing can be generalised to the case of multiple forecasts (see Harvey and Newbold (2000) ).”
• A Test for Superior Predictive Ability (2005, methodology): “So in this case it seems more appropriate to apply a test for EPA, such as that of Harvey and Newbold (2000), which can be used to compare multiple-nested models.”