{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,6,30]],"date-time":"2026-06-30T10:39:09Z","timestamp":1782815949283,"version":"3.54.5"},"reference-count":6,"publisher":"The Econometric Society","issue":"4","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["ECTA"],"abstract":"<jats:p>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.<\/jats:p>","DOI":"10.3982\/ecta17523","type":"journal-article","created":{"date-parts":[[2020,7,21]],"date-time":"2020-07-21T12:43:25Z","timestamp":1595335405000},"page":"1753-1754","source":"Crossref","is-referenced-by-count":14,"title":["Diverging Tests of Equal Predictive Ability"],"prefix":"10.3982","volume":"88","author":[{"given":"Michael W.","family":"McCracken","sequence":"first","affiliation":[{"name":"Research Division, Federal Reserve Bank of St. Louis"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"2359","published-online":{"date-parts":[[2020]]},"reference":[{"key":"ecta200181-bib-0001","doi-asserted-by":"crossref","first-page":"1107","DOI":"10.1016\/B978-0-444-62731-5.00020-8","volume":"2B","author":"Clark","year":"2013","journal-title":"Elsevier Handbook of Economic Forecasting"},{"key":"ecta200181-bib-0002","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1080\/07350015.2014.983236","volume":"33","author":"Diebold","year":"2015","journal-title":"Journal of Business and Economic Statistics"},{"key":"ecta200181-bib-0003","doi-asserted-by":"crossref","first-page":"134","DOI":"10.1080\/07350015.1995.10524599","volume":"13","author":"Diebold","year":"1995","journal-title":"Journal of Business and Economic Statistics"},{"key":"ecta200181-bib-0004","doi-asserted-by":"crossref","first-page":"416","DOI":"10.1198\/073500105000000018","volume":"23","author":"Giacomini","year":"2005","journal-title":"Journal of Business and Economic Statistics"},{"key":"ecta200181-bib-0005","doi-asserted-by":"crossref","first-page":"1545","DOI":"10.1111\/j.1468-0262.2006.00718.x","volume":"74","author":"Giacomini","year":"2006","journal-title":"Econometrica"},{"key":"ecta200181-bib-0006","doi-asserted-by":"crossref","first-page":"638","DOI":"10.1016\/j.jeconom.2018.07.008","volume":"208","author":"Rossi","year":"2019","journal-title":"Journal of Econometrics"}],"container-title":["Econometrica"],"original-title":[],"language":"en","deposited":{"date-parts":[[2024,8,10]],"date-time":"2024-08-10T13:20:55Z","timestamp":1723296055000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.econometricsociety.org\/doi\/10.3982\/ECTA17523"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020]]},"references-count":6,"journal-issue":{"issue":"4","published-online":{"date-parts":[[2020]]}},"alternative-id":["10.3982\/ECTA17523"],"URL":"https:\/\/doi.org\/10.3982\/ecta17523","relation":{},"ISSN":["0012-9682"],"issn-type":[{"value":"0012-9682","type":"print"}],"subject":[],"published":{"date-parts":[[2020]]}}}