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- W2057950515 abstract "This article develops a simple bootstrap method for simulating asymptotic critical values for tests of equal forecast accuracy and encompassing among many nested models. Our method combines elements of fixed regressor and wild bootstraps. We first derive the asymptotic distributions of tests of equal forecast accuracy and encompassing applied to forecasts from multiple models that nest the benchmark model—that is, reality check tests. We then prove the validity of the bootstrap for these tests. Monte Carlo experiments indicate that our proposed bootstrap has better finite-sample size and power than other methods designed for comparison of nonnested models. Supplementary materials are available online." @default.
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- W2057950515 date "2012-01-01" @default.
- W2057950515 modified "2023-10-16" @default.
- W2057950515 title "Reality Checks and Comparisons of Nested Predictive Models" @default.
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- W2057950515 doi "https://doi.org/10.1198/jbes.2011.10278" @default.
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