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Testing Clustered Equal Predictive Ability with Unknown Clusters

https://doi.org/10.2139/ssrn.5369213
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TESTS OF EQUAL FORECAST ACCURACY FOR OVERLAPPING MODELS
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Exponent of Cross‐Sectional Dependence: Estimation and Inference
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How is machine learning useful for macroeconomic forecasting?
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Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings
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The political economy of IMF forecasts
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Equal predictive ability tests based on panel data with applications to OECD and IMF forecasts
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Comparing forecasting performance with panel data
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On the selection of forecasting models
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A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
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Robust trend inference with series variance estimator and testing-optimal smoothing parameter
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Nested forecast model comparisons: A new approach to testing equal accuracy
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Estimation of Panel Group Structure Models with Structural Breaks in Group Memberships and Coefficients
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Machine Learning for Economic Policy
inferredcites →https://doi.org/10.1016/s0304-4076(01)00071-9openalex-snapshot
Tests of equal forecast accuracy and encompassing for nested models
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HAC ESTIMATION BY AUTOMATED REGRESSION
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Random Forests
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A tutorial on support vector regression
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Circular analysis in systems neuroscience: the dangers of double dipping
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Combining exchangeable P -values
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Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures
inferredcites →https://doi.org/10.1080/01621459.2022.2116331openalex-snapshot
Selective Inference for Hierarchical Clustering
inferredcites →https://doi.org/10.1080/07350015.2018.1506926openalex-snapshot
HAR Inference: Recommendations for Practice
inferredcites →https://doi.org/10.1080/07350015.2019.1637745openalex-snapshot
Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods
inferredcites →https://doi.org/10.1080/07350015.2021.2021923openalex-snapshot
On Testing Equal Conditional Predictive Ability Under Measurement Error
inferredcites →https://doi.org/10.1080/07350015.2022.2061983openalex-snapshot
Testing for Unobserved Heterogeneity via k-means Clustering
inferredcites →https://doi.org/10.1080/07350015.2022.2067545openalex-snapshot
Combining p-values for Multivariate Predictive Ability Testing
inferredcites →https://doi.org/10.1080/07350015.2024.2418835openalex-snapshot
Testing for Equal Average Forecast Accuracy in Possibly Unstable Environments
inferredcites →https://doi.org/10.1093/biomet/asaa027openalex-snapshot
Combining p-values via averaging
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A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
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Least squares quantization in PCM
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Determining the Number of Factors in Approximate Factor Models
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Weak and strong cross‐section dependence and estimation of large panels
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A heteroskedasticity and autocorrelation robustFtest using an orthonormal series variance estimator
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Regularization and Variable Selection Via the Elastic Net
inferredcites →https://doi.org/10.1111/j.1468-0262.2006.00718.xopenalex-snapshot
Tests of Conditional Predictive Ability
inferredcites →https://doi.org/10.1145/2939672.2939785openalex-snapshot
XGBoost
inferredcites →https://doi.org/10.1146/annurev-economics-080217-053433openalex-snapshot
Machine Learning Methods That Economists Should Know About
inferredcites →https://doi.org/10.1146/annurev-statistics-100421-044639openalex-snapshot
Post-Selection Inference
inferredcites →https://doi.org/10.1162/003465398557825openalex-snapshot
Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data
inferredcites →https://doi.org/10.1198/jasa.2011.r10138openalex-snapshot
Making and Evaluating Point Forecasts
inferredcites →https://doi.org/10.1214/21-aos2109openalex-snapshot
Admissible ways of merging p-values under arbitrary dependence
inferredcites →https://doi.org/10.1257/jel.20201479openalex-snapshot
Forecasting in the Presence of Instabilities: How We Know Whether Models Predict Well and How to Improve Them
inferredcites →https://doi.org/10.18637/jss.v033.i01openalex-snapshot
Regularization Paths for Generalized Linear Models via Coordinate Descent
inferredcites →https://doi.org/10.2139/ssrn.1923900openalex-snapshot
Tests of Equal Forecast Accuracy for Overlapping Models
inferredcites →https://doi.org/10.2139/ssrn.2166366openalex-snapshot
Nested Forecast Model Comparisons: A New Approach to Testing Equal Accuracy
inferredcites →https://doi.org/10.2307/2171956openalex-snapshot
Asymptotic Inference about Predictive Ability
inferredcites →https://doi.org/10.2307/2286880openalex-snapshot
Clustering Algorithms.
inferredcites →https://doi.org/10.2307/2297602openalex-snapshot
Multiple Time Series Regression with Integrated Processes
inferredcites →https://doi.org/10.2307/2341488openalex-snapshot
Statistical Methods for Research Workers.
inferredcites →https://doi.org/10.3982/ecta11319openalex-snapshot
Grouped Patterns of Heterogeneity in Panel Data
inferredcites →https://doi.org/10.3982/ecta11684openalex-snapshot
Fixed-Smoothing Asymptotics in a Two-Step Generalized Method of Moments Framework
inferredcites →https://doi.org/10.3982/ecta12560openalex-snapshot
Identifying Latent Structures in Panel Data
inferredcites →https://doi.org/10.3982/ecta15238openalex-snapshot
Discretizing Unobserved Heterogeneity
inferredcites →https://doi.org/10.3982/ecta17523openalex-snapshot
Diverging Tests of Equal Predictive Ability
inferredcites →https://doi.org/10.48550/arxiv.1603.02754openalex-snapshot
XGBoost: A Scalable Tree Boosting System
inferredcites →https://doi.org/10.48550/arxiv.1703.06559openalex-snapshot
Unifying approach to selective inference with applications to cross-validation
inferredcites →https://doi.org/10.48550/arxiv.2003.02803openalex-snapshot
Equal Predictive Ability Tests Based on Panel Data with Applications to OECD and IMF Forecasts
inferredcites →https://doi.org/10.48550/arxiv.2006.03238openalex-snapshot
Can Two Forecasts Have the Same Conditional Expected Accuracy?
inferredcites →https://doi.org/10.48550/arxiv.2203.15267openalex-snapshot
Selective inference for k-means clustering
inferredcites →https://doi.org/10.48550/arxiv.2405.16379openalex-snapshot
Selective inference for multiple pairs of clusters after K-means clustering
inferredcites →https://doi.org/10.7208/chicago/9780226613475.003.0021openalex-snapshot
The Impact of Machine Learning on Economics
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