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Suitably modified versions of these tests conducted on the sequence of forecasts or forecast revisions recorded at different horizons can be used to test the internal
Let me raise three questions. The first two are related. 1) How powerful are the tests in detecting the possibility that the forecaster is using a single internally consistent,
One way to study the finite sample performance of the new forecast rationality tests is to use the bootstrap reality check of White ( 2000 ) or the refinement proposed by Hansen (
This comment refers to an error in the methodology for esti- mating the parameters of the model developed by Philipov and Glickman (2006) for modeling multivariate stochastic
It is important to establish whether the performance of the tests is related to some features of the data, such as different sampling frequencies, different levels of
mission process between the crude oil and wholesale markets, and to compare the outcome of the testing procedure under dif- ferent temporal aggregation of the time series for
For any loss function used, we compute four estimators, including the oracle estima- tor where the nonparametric and the parametric components are correctly specified with no
We develop a high-dimensional, nonlinear, and non-Gaussian dynamic factor model for the decomposi- tion of systematic default risk conditions into latent components for
