2 papers
stat.ME2026
Heavy Tails and Predictive Ability Testing
Jonas F. Frederiksen, Muneya Matsui, Rasmus S. Pedersen
We study the asymptotic behaviour of widely used tests for evaluating and comparing predictive accuracy when forecast errors exhibit heavy tails. In particular, when loss different…
econ.EM2025
Uniform Critical Values for Likelihood Ratio Tests in Boundary Problems
Giuseppe Cavaliere, Adam McCloskey, Rasmus S. Pedersen +1
Limit distributions of likelihood ratio statistics are well-known to be discontinuous in the presence of nuisance parameters at the boundary of the parameter space, which lead to s…