Giacomini and Rossi (2010) Forecast Comparison Test
Posted: Thu Sep 11, 2014 9:49 am
Dear fellow RATS users,
Has anyone tried to code up the forecast compairson test of Giacomini and Rossi (2010)? The test is essentially a fluctuations test for forecast comparisons in unstable ennvironments. The complete reference to the paper is:
Raffaella Giacomini and Barbara Rossi, "Forecast Comparisons in Unstable Environments", Journal of Applied Econometrics, Vol. 25, No. 4, 2010, pp. 595-620.
The authors' matlab codes and data (and the test's critical values) can be found in the Journal of Applied Econometrics data archives here: http://qed.econ.queensu.ca/jae/2010-v25 ... ini-rossi/
I would be thankful for any RATS code for this test.
Has anyone tried to code up the forecast compairson test of Giacomini and Rossi (2010)? The test is essentially a fluctuations test for forecast comparisons in unstable ennvironments. The complete reference to the paper is:
Raffaella Giacomini and Barbara Rossi, "Forecast Comparisons in Unstable Environments", Journal of Applied Econometrics, Vol. 25, No. 4, 2010, pp. 595-620.
The authors' matlab codes and data (and the test's critical values) can be found in the Journal of Applied Econometrics data archives here: http://qed.econ.queensu.ca/jae/2010-v25 ... ini-rossi/
I would be thankful for any RATS code for this test.