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econ.EM2023
Direct Multi-Step Forecast based Comparison of Nested Models via an Encompassing Test
Jean-Yves Pitarakis
We introduce a novel approach for comparing out-of-sample multi-step forecasts obtained from a pair of nested models that is based on the forecast encompassing principle. Our propo…
econ.EM2023
Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates
Jesus Gonzalo, Jean-Yves Pitarakis
This paper is concerned with detecting the presence of out of sample predictability in linear predictive regressions with a potentially large set of candidate predictors. We propos…