A Consistent Test for Nonlinear Out of Sample Predictive Accuracy

By Valentina Corradi, Norman R. Swanson. 2002

128 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/ebe732ddea5838d11df125e0fadd4f0ee09bd4a5

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Citations in the corpus

VARMA versus VAR for Macroeconomic Forecasting (2008, background): “There have been significant advances in the theory of testing predictive ability (examples include Diebold and Mariano 1995; West 1996; Clark and McCracken 2001; Corradi and Swanson 2002; Giacomini and White 2006).”
An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series (2006, background): “…misspecification amongst competing models; an important Christoffersen (1998), Christoffersen and Diebold (1997), Clements and Smith (2000,2002), Corradi and Swanson (2002), Diebold, Gunther and Tay (1998), Diebold, Hahn and Tay (1999), Harvey, Leybourne and Newbold (1998), and the references…”
Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity (2007, unknown): “L(e) = L̃ (e) + ζ (e) where L̃(e) = exp {−a |e|}+ a |e|− 1 (9) ζ (e) = (exp {ae}− exp {−ae}− 2ae)1(e > 0),”
In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? (2005, background): “Yet another test of predictability that allows for dynamic misspecification under the null is presented in Corradi and Swanson (2002), but that paper focuses on the problem of testing equal predictive accuracy of two nested models against the alternative of possibly nonlinear predictability.”
Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes (2007, methodology): “Further, note that stochastic equicontinuity on can be shown using the same approach as that used in the proof of Theorem 2 in Corradi and Swanson (2002).”
Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification (2006, methodology): “One possibility in this case is to use the conditional p-value approach of Corradi and Swanson (2002), which extends Inoue’s (2001) approach to the case of parameter estimation error.3 A drawback of this approach is that the simulated critical values under the alternative are of order O(l), (where…”
A Test for Superior Predictive Ability (2005, methodology): “…tests, and other extensions were made by Harvey et al. (1998), Chao, Corradi, and Swanson (2001), Clark and McCracken (2001), West (2001), and Corradi and Swanson (2002), who considered tests for forecast encompassing, and by Corradi, Swanson, and Olivetti (2001), who compared forecasting…”
A dynamic artificial neural network model for forecasting time series events (2005, methodology): “tests such as those recommended by White (2000), Clark and McCraken (2001), or Corradi and Swanson (2002) may be employed.”
Information in the Revision Process of Real-Time Datasets (2008, unknown): “…p-value approach of Hansen (1996a) and de Jong (1996), and asymptotically valid critical values for M2,P can be obtained using the generalization of the conditional p-value approach due to Corradi and Swanson (2002), which takes into proper account the contribution of parameter estimation error.”
Evaluating Direct Multistep Forecasts (2005, background): “3 Corradi and Swanson ( 2002 ) develop an encompassing-type test for comparing one step ahead forecasts from a pair of nested nonlinear or linear models.”