Diverging Tests of Equal Predictive Ability
成果类型：
Article
署名作者：
McCracken, Michael W.
署名单位：
Federal Reserve System - USA; Federal Reserve Bank - St. Louis
刊物名称：
ECONOMETRICA
ISSN/ISSBN：
0012-9682
DOI：
10.3982/ECTA17523
发表日期：
2020
页码：
1753-1754
关键词：
摘要：
We investigate claims made in Giacomini and White (2006) and Diebold (2015) regarding the asymptotic normality of a test of equal predictive ability. A counterexample is provided in which, instead, the test statistic diverges with probability 1 under the null.
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