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Comparing forecast accuracy: A Monte Carlo investigation

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Figure

Table 1: Empirical size of the tests of equal forecast accuracy for one-step ahead forecasts run at nominal 5 and 10% (Nested case).
Table 2: Empirical size of the tests of equal forecast accuracy for multi-step ahead forecasts run at nominal 10% (Nested case).
Table 3: Empirical application: forecasting the Italian GDP (Nested and non-nested case).
Figure 1: Empirical power functions for the case of one-step ahead forecasts under correct specification (R=200, recursive regressions)
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