Construct · 1 fields · 1 citations

Giacomini-White test: a standalone construct

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Forecasting

a test of whether two forecasting methods differ in expected loss given current information, allowing for estimation uncertainty and nested models.

In forecasting, Giacomini-White test refers to a test of whether two forecasting methods differ in expected loss given current information, allowing for estimation uncertainty and nested models. This meaning comes from Giacomini (2006) in Econometrica.[1]

Unit
Recovery means
Measured by

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Nearby constructs

current3 fields · 6 citationsjingle · one word, three constructs estimation3 fields · 3 citationsjingle · one word, three constructs information4 fields · 5 citationsjingle · one word, four constructs

References

Giacomini, R., & White, H. (2006). Tests of Conditional Predictive Ability. Econometrica, 74(6), 1545-1578. https://doi.org/10.1111/j.1468-0262.2006.00718.x

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