Pesaran and Timmermann (1992) Statistic
Posted: Thu Aug 11, 2016 9:28 am
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.
Thanks.