Jordà ò,Marcellino M. Path forecast evaluation[J]. Journal of Applied Econometrics, 2010, 25(4): 635-662.
[3]
Scheffé H. A method for judging all contrasts in the analysis of variance [J]. Biometrika, 1953, 40(1-2): 87-110.
[4]
Scheffé H. Analysis of variance [M]. Wiley: New York, 1959.
[5]
Stock J H, Watson M W. Vector autoregressions [J]. Journal of Economic Perspectives, 2001, 15(4): 101-115.
[6]
Jordà ò. Estimation and inference of impulse responses by local projections [J]. American Economic Review, 2005, 95(1): 161-182.
[7]
Marcellino M, Stock J H, Watson M W. A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series [J]. Journal of Econometrics, 2006, 127:499-526.
[8]
Roy S N. On a heuristic method of test construction and its use in multivariate analysis [J]. Annals of Mathematical Statistics, 1953, 24: 220-238.
[9]
Savin N E. The Bonferroni and Scheffé multiple comparison procedures [J]. Review of Economic Studies, 1980, 47: 225-273.
[10]
Mahalanobis P C. On the generalized distance in statistics [J]. Proceedings of the National Institute of Science of India, 1936, 12: 49-55.
[11]
Bowden D C. Simultaneous confidence bands for linear regression models [J]. Journal of the American Statistical Association, 1970, 65(329): 413-421.
[12]
Holm S. A simple sequentially rejective multiple test procedur [J]. Scandinavian Journal of Statistics, 1979, 6: 65-70.
[13]
Lehmann E L, Romano J P. Testing statistical hypothesis [M]. Springer: Berlin, 2005.
Granger C W J. Can we improve the perceived quality of economic forecasts? [J]. Journal of Applied Econometrics, 1996, 11(5): 455-473. 3.0.CO;2-E target="_blank">
[25]
Wallis K F. Chi-squared tests of interval and density forecasts, and the Bank of England’s fan charts [J]. International Journal of Forecasting, 2003, 19(2): 165-175.
[26]
Hansen B E. Least-squares forecast averaging [J]. Journal of Econometrics, 2008, 146(2): 342-350.
