Predictive ability with cointegrated variables

By Valentina Corradi, Norman R. Swanson, Claudia Olivetti. 2001

73 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e5ee2083c237afe93b047e97737ae8592de15da1

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In Economics and Econometrics

Citations in the corpus

Statistical tests for multiple forecast comparison (2012, background): “5 For related results, see also McCracken (2000) and Corradi et al. (2001).”
A Consistent Test for Nonlinear Out of Sample Predictive Accuracy (2002, background): “Since then, eBorts have been made to generalize DM-type tests in order to: account for parameter estimation error (West, 1996; West and McCracken, 1998); allow for non-diBerentiable loss functions together with parameter estimation error (McCracken, 2000); extend the DM framework to the case of inte”
Asymptotics for out of sample tests of Granger causality (2007, background): “2 out-of-sample inference made by Mincer and Zarnowitz (1969), Chong and Hendry (1986), Ghysels and Hall (1990), Fair and Shiller (1989, 1990), Mizrach (1992) and Diebold and Mariano (1995). Building upon West (1996), even more recent work on out-of-sample inference has developed. West and McCracken”
Forecasting: theory and practice (2020, methodology): “ uses a null hypothesis of “superior predictive ability” instead of the equal predictive ability used in DM tests. These have also been generalised to deal with issues such as cointegrated variables (Corradi et al., 2001) and multi-horizon forecasts (Quaedvlieg, 2019). Recently, Li et al. (2020e) pr”
In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? (2005, background): “Assumption 1(d) rules out some important and interesting cases, such as the near-cointegrated case analyzed by Rossi (2003) (also see Corradi et al., 2001).”
A Test for Superior Predictive Ability (2005, methodology): “) Tests for equal predictive ability (EPA) in a general setting were proposed by Diebold and Mariano (1995) and West (1996), where the framework of West can accommodate the situation where forecasts involve estimated parameters.”
Evaluating Direct Multistep Forecasts (2005, background): “( 2001 ), and Gilbert ( 2001 ), the distributions explicitly account for the uncertainty introduced by parameter estimation.”
On the Selection of Forecasting Models (2006, unknown): “! + ln(T/R) T − R dim(α )+ op (1), ( 6 ) where ˆut(S )= yt − ˆ α0Sxt.”
Tests of Conditional Predictive Ability (2003, unknown): “+Wt−m+1)/m (10) ĝm,t = α̂m,t + β̂m,tWt.”