Diverging Tests of Equal Predictive Ability
Econometrica · 2020 · Volume 88 · Issue 4
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 1 under the null.
Keywords
Prediction, out-of-sample, inference
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