Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference
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We consider using out-of-sample mean squared prediction errors (MSPEs) to evaluate the null that a given series follows a zero mean martingale difference against the alternative that it is linearly predictable. Under the null of no predictability, the population MSPE of the null "no change" model
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美国国家经济研究局创建时间：
2005-01-01
