Matlab and R codes
Matlab and R codes
A novel approach to predictive accuracy testing in nested environments, Econometric Theory, 2023
Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates (with J. Gonzalo), International Journal of Forecasting, 2023
Matlab Codes (Github repo)
Direct Multi-Step Forecast based Evaluation of Nested Models via an Encompassing Test, December 2023
Detecting Sparse Cointegration, January 2025