Advanced search
Publication Cover
Journal of Business & Economic Statistics Volume 41, 2023 - Issue 3
Submit an article Journal homepage
1,439
Views
0
CrossRef citations to date
0
Altmetric
Articles

Combining p-values for Multivariate Predictive Ability Testing

Lars SprengCentre for Econometric Analysis and Faculty of Finance Bayes Business School (formerly Cass), London, UKCorrespondence[email protected] [email protected]
&
Giovanni UrgaCentre for Econometric Analysis and Faculty of Finance Bayes Business School (formerly Cass), London, UK
Pages 765-777 | Published online: 16 May 2022

References

  • Bai, J. (2003), “Inferential Theory for Factor Models of Large Dimensions,” Econometrica, 71, 135–171. DOI: 10.1111/1468-0262.00392.
  • Carriero, A., Galvão, A. B., and Kapetanios, G. (2019), “A Comprehensive Evaluation of Macroeconomic Forecasting Methods,” International Journal of Forecasting, 35, 1226–1239. DOI: 10.1016/j.ijforecast.2019.02.007.
  • Clark, T., and McCracken, M. (2013), “Advances in Forecast Evaluation,” in Handbook of Economic Forecasting (Vol. 2), eds. G. Elliot and A. Timmermann, pp. 1107–1201, Amsterdam: Elsevier.
  • Clark, T. E., and West, K. D. (2007), “Approximately Normal Tests for Equal Predictive Accuracy in Nested Models,” Journal of Econometrics, 138, 291–311. DOI: 10.1016/j.jeconom.2006.05.023.
  • Diebold, F. X. (2015), “Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold–Mariano Tests,” Journal of Business & Economic Statistics, 33, 1–9.
  • Diebold, F. X., and Mariano, R. S. (1995), Comparing Predictive Accuracy,” Journal of Business & Economic Statistics, 13, 253–265.
  • Donoho, D., and Jin, J. (2004), “Higher Criticism for Detecting Sparse Heterogeneous Mixtures,” The Annals of Statistics, 32, 962–994. DOI: 10.1214/009053604000000265.
  • Fisher, R. A. (1934), Statistical Methods for Research Workers (Vol. 5), Edinburgh: Oliver and Boyd.
  • Giacomini, R., and White, H. (2006), “Tests of Conditional Predictive Ability,” Econometrica, 74, 1545–1578. DOI: 10.1111/j.1468-0262.2006.00718.x.
  • Harvey, C. R., Liu, Y., and Zhu, H. (2016), “… and the Cross-section of Expected Returns,” The Review of Financial Studies, 29, 5–68. DOI: 10.1093/rfs/hhv059.
  • Heard, N. A., and Rubin-Delanchy, P. (2018), Choosing Between Methods of Combining p-values,” Biometrika, 105, 239–246. DOI: 10.1093/biomet/asx076.
  • Kost, J. T., and McDermott, M. P. (2002), “Combining Dependent p-values,” Statistics and Probability Letters, 60, 183–190. DOI: 10.1016/S0167-7152(02)00310-3.
  • Laurent, S., Rombouts, J. V., and Violante, F. (2013), “On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models,” Journal of Econometrics, 173, 1–10. DOI: 10.1016/j.jeconom.2012.08.004.
  • Liu, Y., and Xie, J. (2019), Accurate and Efficient p-value Calculation via Gaussian Approximation: A Novel Monte-Carlo Method,” Journal of the American Statistical Association, 114, 384–392. DOI: 10.1080/01621459.2017.1407776.
  • Liu, Y., and Xie, J. (2020), “Cauchy Combination Test: A Powerful Test with Analytic p-value Calculation Under Arbitrary Dependency Structures,” Journal of the American Statistical Association, 115, 393–402. DOI: 10.1080/01621459.2018.1554485.
  • Mariano, R. S., and Preve, D. (2012), Statistical Tests for Multiple Forecast Comparison,” Journal of Econometrics, 169, 123–130. DOI: 10.1016/j.jeconom.2012.01.014.
  • Qu, R., Timmermann, A., and Zhu, Y. (in press), “Comparing Forecasting Performance in Cross-sections,” Journal of Econometrics.
  • Robins, J. M., van der Vaart, A., and Ventura, V. (2000), “Asymptotic Distribution of p-values in Composite Null Models,” Journal of the American Statistical Association, 95, 1143–1156.
  • Van der Vaart, A. W. (2000), Asymptotic Statistics (Vol. 3), Cambridge: Cambridge University Press.
  • Vovk, V., and Wang, R. (2020), “Combining p-values via Averaging,” Biometrika, 107, 791–808. DOI: 10.1093/biomet/asaa027.
Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.