Regression-Based Tests of Predictive Ability

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

1991 • 4,036 citations

Comparing Predictive Accuracy

1995 • 3,779 citations

Asymptotic Inference about Predictive Ability

1996 • 1,471 citations

Econometric Evaluation of Linear Macro-Economic Models

1986 • 597 citations

Nonparametric exchange rate prediction?

1990 • 509 citations

Comparing Information in Forecasts from Econometric Models

1990 • 446 citations

Diagnostic tests as residual analysis

1983 • 436 citations

A Unified Approach to Robust, Regression-Based Specification Tests

1990 • 321 citations

The Evaluation of Economic Forecasts

1969 • 310 citations

On the application of robust, regression- based diagnostics to models of conditional means and conditional variances

1991 • 300 citations

Testing for Consistency using Artificial Regressions

1989 • 187 citations

Model Specification Tests Based on Artificial Linear Regressions

1984 • 98 citations

Notes on Testing the Predictive Performance of Econometric Models

1974 • 51 citations

A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model

1996 • 44 citations

PRACTITIONERS CORNER: Post‐Sample Prediction Tests for Generalized Method of Moments Estimators

1989 • 42 citations

Advertising and Aggregate Consumption: An Analysis of Causality

2008 • 24 citations

The Informational Efficiency of Econometric Model Forecasts

1985 • 19 citations

Finite-Sample Properties of Tests for Forecast Equivalence

1996 • 2 citations