The DOI matches its Crossref record.
Asymptotic Inference about Predictive Ability
Abstract
This paper develops procedures for inference about the moments of smooth functions of out-of-sample predictions and prediction errors when there is a long time series of predictions and realizations. The aim is to provide tools for analysis of predictive accuracy and efficiency and, more generally, of predictive ability. The paper allows for nonnested and nonlinear models as well as for possible dependence of predictions and prediction errors on estimated regression parameters. Simulations indicate that the procedures can work well in samples of size typically available. Copyright 1996 by The Econometric Society.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cited by
A Reality Check for Data Snooping
White, H. (2000) · Econometrica · doi:10.1111/1468-0262.00152 · Cited by 1,851
A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
Hansen, P. R., & Lunde, A. (2005) · Journal of Applied Econometrics · doi:10.1002/jae.800 · Cited by 1,773
Tests of Conditional Predictive Ability
Giacomini, R., & White, H. (2006) · Econometrica · doi:10.1111/j.1468-0262.2006.00718.x · Cited by 1,646
Forecasting Volatility in Financial Markets: A Review
Poon, S., & Granger, C. W. J. (2003) · Journal of Economic Literature · doi:10.1257/002205103765762743 · Cited by 1,315
A Test for Superior Predictive Ability
Hansen, P. R. (2005) · Journal of Business & Economic Statistics · doi:10.1198/073500105000000063 · Cited by 1,230
Metadata
- Authors
- West, K. D.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1996-09
- Volume
- 64
- Issue
- 5
- Pages
- 1067
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W1588064737
- Cited by
- 1,401
- References
- 0
- FWCI
- 12.91
- Type
- journal article
- Language
- en
- Open access
- closed
About these checks
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.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: Asymptotic Inference about Predictive Ability. https://app.cochat.ai/papers/10.2307/2171956
- The paper
- West, K. D. (1996). Asymptotic Inference about Predictive Ability. Econometrica. https://doi.org/10.2307/2171956
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.
