Nonparametric tests for Optimal Predictive Ability
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DOI: 10.1016/j.ijforecast.2020.10.002
Abstract: Abstract A nonparametric method for comparing multiple forecast models is developed and implemented. The hypothesis of Optimal Predictive Ability generalizes the Superior Predictive Ability hypothesis from a single given loss function to an entire class… read more here.
Keywords: optimal predictive; predictive ability; loss functions; hypothesis ... See more keywords