Econometrica: Jul 2020, Volume 88, Issue 4
Diverging Tests of Equal Predictive Ability
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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