Construct · 1 fields · 1 citations

Clark-West test: a standalone construct

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Econometrics

a test of equal predictive accuracy for nested models that adjusts the mean squared error difference for noise from estimating extra parameters.

In econometrics, Clark-West test refers to a test of equal predictive accuracy for nested models that adjusts the mean squared error difference for noise from estimating extra parameters. This meaning comes from Clark (2007) in Journal of Econometrics.[1]

Unit
Recovery means
Measured by

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Nearby constructs

accuracy3 fields · 6 citationsjingle · one word, three constructs Diebold-Mariano test1 fields · 1 citationsanchor · a standalone construct error4 fields · 8 citationsjingle · one word, four constructs

References

Clark, T. E., & West, K. D. (2007). Approximately normal tests for equal predictive accuracy in nested models. Journal of Econometrics, 138(1), 291-311. https://doi.org/10.1016/j.jeconom.2006.05.023

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