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    Article

    A new semiparametric test for superior predictive ability

    We propose a new method to test the superior predictive ability (SPA) of a benchmark model against a large group of alternative models. The proposed test is useful for reducing potential data snoo** bias. Un...

    Zongwu Cai, Jiancheng Jiang, **gshuang Zhang, **bin Zhang in Empirical Economics (2015)

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    Article

    Forecasting major Asian exchange rates using a new semiparametric STAR model

    To forecast exchange rates, this paper proposes a new semiparametric smooth transition autoregressive model by allowing state variables to enter into the transition function in a nonparametric way. We propose ...

    Nan Cai, Zongwu Cai, Ying Fang, Qiuhua Xu in Empirical Economics (2015)