Tests of Equal Forecast Accuracy for Overlapping Models

@inproceedings{Clark2012TestsOE,
  title={Tests of Equal Forecast Accuracy for Overlapping Models},
  author={Todd E. Clark and Michael McCracken},
  year={2012}
}
This paper examines the asymptotic and …nite-sample properties of tests of equal forecast accuracy when the models being compared are overlapping in the sense of Vuong (1989). Two models are overlapping when the true model contains just a subset of variables common to the larger sets of variables included in the competing forecasting models. We consider an… CONTINUE READING