Diverging Tests of Equal Predictive Ability
研究了Giacomini和White（2006）及Diebold（2015）关于相等预测能力检验渐近正态性的论断，并给出了一个反例，其中检验统计量在原假设下以概率1发散。
We investigate claims made in Giacomini and White (2006) and Diebold (2015) regarding the asymptotic normality of a test of equal predictive ability. A counterexample is provided in which, instead, the test statistic diverges with probability 1 under the null.