Discussions with Clive Granger, Graham Elliott, and Andrew Patton were essential to the paper. Useful comments from a co-editor and three anonymous referees led to a considerably improved version of the paper. We also thank Lutz Kilian for insightful suggestions and Farshid Vahid, Matteo Iacoviello, Mike McCracken, and seminar participants at UCSD, Nuffield College, LSE, University of Exeter, University of Warwick, University of Manchester, Cass Business School, North Carolina State University, Boston College, Texas A&M, University of Chicago GSB, the International Finance Division of the Federal Reserve Board, University of Houston, UCLA, Harvard/MIT, and the 2002 EC2 conference in Bologna, Italy for helpful comments. We thank Vince Crawford for the use of the UCSD Experimental and Computational Lab.
Tests of Conditional Predictive Ability
Version of Record online: 1 NOV 2006
Volume 74, Issue 6, pages 1545–1578, November 2006
How to Cite
Giacomini, R. and White, H. (2006), Tests of Conditional Predictive Ability. Econometrica, 74: 1545–1578. doi: 10.1111/j.1468-0262.2006.00718.x
- Issue online: 1 NOV 2006
- Version of Record online: 1 NOV 2006
- Manuscript received April, 2003; final revision received April, 2006.
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