Title:

Tests of Equal Accuracy for Nested Models with Estimated Factors

Authors:

Silvia Goncalves (U Western Ontario)
Michael W. McCracken (Fed Res Bk of St Louis)
Benoit Perron (U Montreal)

Journal:

Journal of Econometrics

Year:

2017

Volume:

198

Number:

2

Pages:

231-252

JEL codes:

C51 - Model Construction and Estimation
G12 - Asset Pricing; Trading volume; Bond Interest Rates

DOI:

10.1016/j.jeconom.2017.01.004