Download This PaperDiverging Tests of Equal Predictive Ability
4 Pages Posted: 22 Oct 2019 Last revised: 14 Mar 2020
Date Written: July, 2019
Abstract
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 one under the null.
Keywords: inference, out-of-sample, prediction
JEL Classification: C12, C52, C53
Suggested Citation: Suggested Citation
McCracken, Michael W., Diverging Tests of Equal Predictive Ability (July, 2019). FRB St. Louis Working Paper No. 2019-18, Available at SSRN: https://ssrn.com/abstract=3473127 or http://dx.doi.org/10.20955/wp.2019.018
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