DIVERGING TESTS OF EQUAL PREDICTIVE ABILITY

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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Bibliographic Details
Published in:Econometrica 2020-07, Vol.88 (4), p.1753-1754
Main Author: McCracken, Michael W.
Format: Article
Language:English
Subjects:
Econometrics
inference
Normality
out‐of‐sample
Prediction
Predictions
Tests
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Summary: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.
ISSN:0012-9682
1468-0262
DOI:10.3982/ECTA17523