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New Tests of Equal Forecast Accuracy for Factor-Augmented Regressions with Weaker Loadings
Status: This talk is in preparation - details may change
Status: This talk has been cancelled
We provide the theoretical foundation for the recently proposed tests of equal forecast accuracy and encompassing by Pitarakis (2023a,b), when the competing forecast specification is that of a factor-augmented regression model. This should be of interest for practitioners, as there is no theory justifying the use of these simple and powerful tests in such context. In pursuit of this, we employ a novel theory that allows factor loadings to be homogeneously/heterogeneously weak (empirically well-documented), and track their effect on the forecast comparison problem.
Date:
24 January 2025, 14:15
Venue:
Manor Road Building, Manor Road OX1 3UQ
Venue Details:
Seminar Room C
Speaker:
Ovidijus Stauskas (BI Norwegian Business School)
Organising department:
Department of Economics
Part of:
Nuffield Econometrics Seminar
Booking required?:
Not required
Audience:
Members of the University only
Editor:
Edward Valenzano
