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Approximately normal tests for equal predictive accuracy in nested models
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References

  • 1994Comparing Predictive Accuracy5,495 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited

Cited by

  • 2015Policy Uncertainty and Corporate Investment2,524 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 2014Investor Sentiment Aligned: A Powerful Predictor of Stock Returns1,129 cited
  • 2014Forecasting the Equity Risk Premium: The Role of Technical Indicators1,001 cited
  • 2018Manager sentiment and stock returns733 cited
  • 2013International Stock Return Predictability: What Is the Role of the United States?702 cited
  • 2013Exchange Rate Predictability654 cited
  • 2013Forecasting Stock Returns634 cited
  • 2016Short interest and aggregate stock returns573 cited
  • 2012‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables486 cited
  • 2011NONLINEARITIES AND THE MACROECONOMIC EFFECTS OF OIL PRICES475 cited
  • 2013Forecasting Inflation449 cited
  • 2008Out-of-sample exchange rate predictability with Taylor rule fundamentals436 cited

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  • 2007Exchange Rate Models Are Not as Bad as You Think431 cited
  • 2010Measuring and Modeling Variation in the Risk-Return Trade-off424 cited
  • 2020Bond Risk Premiums with Machine Learning416 cited