Comparing predictive accuracy in small samples using fixed-smoothing asymptotic

Coroneo, Laura orcid.org/0000-0001-5740-9315 and Iacone, Fabrizio orcid.org/0000-0002-2681-9036 (2020) Comparing predictive accuracy in small samples using fixed-smoothing asymptotic. Journal of Applied Econometrics. pp. 391-405. ISSN 0883-7252

Abstract

Metadata

Authors/Creators:
Copyright, Publisher and Additional Information: © 2020 The Authors
Keywords: Diebold and Mariano test,long run variance estimation,fixed-smoothing asymptotics,Heteroskedasticity-Autocorrelation Robust (HAR) inference,SPF
Dates:
  • Accepted: 19 January 2020
  • Published (online): 28 April 2020
  • Published: 2 June 2020
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Depositing User: Pure (York)
Date Deposited: 21 Jan 2020 17:20
Last Modified: 02 Jun 2020 12:40
Published Version: https://doi.org/10.1002/jae.2756
Status: Published
Refereed: Yes
Identification Number: https://doi.org/10.1002/jae.2756
Related URLs:

Download

Filename: jae.2756.pdf

Description: Comparing predictive accuracy in small samples usingfixed-smoothing asymptotics

Licence: CC-BY 2.5

Share / Export

Statistics