The RATS Software Forum

Dear Tom,
Now it works fine. Thank you so very much.

I'd like to compare direct out-of-sample forecasts with iterated multistep out-of-sample forecasts when forecasting GDP growth four quarters ahead. More specifically, I want to forecast the annual GDP growth; dy4 = (lnY(t+4)-lnY(t))*100, using financial market variables as forecasting variables (ts,...

The interpretation of the Clark-McCracken test: The null hypothesis is that there is no difference between the forecasting ability of the restricted and the unrestricted models. If the null is rejected, the unrestricted model yields better forecasts. Right? But what if the forecasts of the unrestric...