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MATLAB CODE |
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Detecting
and Predicting Forecast Breakdowns (2005), with Barbara
Rossi: code for implementing the test of no forecast breakdown of a forecast
model (FB test) and for testing significance of predictors for future
forecast breakdowns (FB Wald test): ·
FB
test, performs the forecast breakdown test with the general variance
estimator of Theorem 2(a) ·
FB
Wald test, performs the Wald test of Proposition 8, with general variance
estimator |
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Tests of Conditional
Predictive Ability (2004), with Hal White: code
for implementing the test of equal conditional predictive ability of two
competing forecasts:
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