Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Home> Publications> Econometrica>Diverging Tests of Equal Predictive Ability

Econometrica: Jul, 2020, Volume 88, Issue 4

Diverging Tests of Equal Predictive Ability

https://doi.org/10.3982/ECTA17523
p. 1753-1754

Michael W. McCracken

We investigate claims made in Giacomini and White (2006) and Diebold (2015) regarding the asymptotic normality of a test of equal predictive ability. A counterexample is provided in which, instead, the test statistic diverges with probability 1 under the null.

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December 4, 2024

Update on 2025 Submission and Publication Page Fees at Econometric Society Journals

The Executive Committee of the Econometric Society has approved an increase in the submission fees for papers in Econometrica.  Starting January 1, 2025, the fee for new submissions to Econometrica will be US$125 for regular members and US$50 for student members.
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