Pesaran and Timmermann (1992) Statistic

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IRJ
Posts: 48
Joined: Wed Jan 10, 2007 1:15 am

Pesaran and Timmermann (1992) Statistic

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Does anybody have RATS code for computing the Pesaran and Timmermann (1992) statistic from their article "A simple nonparametric test of predictive performance‟, Journal of Business and Economic Statistics. Vol. 10, pp. 461-465?

Thanks.
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