The DOI matches its Crossref record; 4 of the 4 references it cites were found in a registry or an index.
A Simple Nonparametric Test of Predictive Performance
Overview
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Citations
Cites
Specification Tests in Econometrics
Hausman, J. A. (1978) · Econometrica · doi:10.2307/1913827 · Cited by 18,820
Henriksson, R. D., & Merton, R. C. (1981) · The Journal of Business · doi:10.1086/296144 · Cited by 1,321
On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts
Merton, R. C. (1981) · The Journal of Business · doi:10.1086/296137 · Cited by 504
Carlson, J. A., & Parkin, M. (1975) · Economica · doi:10.2307/2553588 · Cited by 448
Cited by
Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500
Krauss, C., Do, X. A., & Huck, N. (2017) · European Journal of Operational Research · doi:10.1016/j.ejor.2016.10.031 · Cited by 750
What do we learn from the price of crude oil futures?
Alquist, R., & Kilian, L. (2010) · Journal of Applied Econometrics · doi:10.1002/jae.1159 · Cited by 744
The use of data mining and neural networks for forecasting stock market returns
Enke, D., & Thawornwong, S. (2005) · Expert Systems with Applications · doi:10.1016/j.eswa.2005.06.024 · Cited by 465
Forecasting exchange rates using feedforward and recurrent neural networks
Kuan, C., & Liu, T. (1995) · Journal of Applied Econometrics · doi:10.1002/jae.3950100403 · Cited by 428
The evolution of stock market efficiency over time: A survey of the empirical literature
Lim, K.-P., & Brooks, R. (2011) · Journal of Economic Surveys · doi:10.1111/j.1467-6419.2009.00611.x · Cited by 410
Metadata
- Authors
- Pesaran, M. H., & Timmermann, A.
- Venue
- Journal of Business & Economic Statistics
- Publisher
- Informa UK Limited
- Published
- 1992-10
- Volume
- 10
- Issue
- 4
- Pages
- 461-465
- ISSN
- 0735-0015 (ISSN-L)
- 1537-2707
- OpenAlex
- W2037780786
- Cited by
- 892
- References
- 4
- FWCI
- 5.49
- Type
- journal article
- Language
- en
- Open access
- closed
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Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
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How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
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- CoChat. (2026). Citation check: A Simple Nonparametric Test of Predictive Performance. https://app.cochat.ai/papers/10.1080/07350015.1992.10509922
- The paper
- Pesaran, M. H., & Timmermann, A. (1992). A Simple Nonparametric Test of Predictive Performance. Journal of Business & Economic Statistics. https://doi.org/10.1080/07350015.1992.10509922
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
