Browsing Economía by Subject "Out-of-sample"
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A Power Booster Factor for Out-of-Sample Tests of Predictability
(Pontificia Universidad Católica del PerúPE, 2022-08-01)In this paper we introduce a “power booster factor” for out-of-sample tests of predictability. The relevant econometric environment is one in which the econometrician wants to compare the population Mean Squared Prediction ...