Tests for Forecasts Encompassing When Forecasts Depend on Estimated Regression Parameters
通过分析和模拟，研究了两种预测包含性检验的性质，考虑了预测依赖于估计回归参数的情况，比较了两种检验在不同样本量下的表现。
This article presents analytical and simulation results on the properties of two tests for forecast encompassing, allowing throughout for dependence of the forecasts on estimated regression parameters. One test, which was intended for forecasts that do not depend on regression parameters, was developed by Harvey, Leybourne, and Newbold. This test works relatively well when the size of the sample of forecast errors is very small. A second test, which explicitly accounts for uncertainty about the regression parameters, otherwise is comparable or preferable.