Self-normalized CUSUM-based tests for multistep conditional predictive ability avoid HAC estimation, deliver pivotal asymptotics, and show improved finite-sample size control in simulations.
International Journal of Forecasting , volume =
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Self-normalized tests for multistep conditional predictive ability
Self-normalized CUSUM-based tests for multistep conditional predictive ability avoid HAC estimation, deliver pivotal asymptotics, and show improved finite-sample size control in simulations.