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David Harvey
;
Stephen Leybourne
;
Yang Zu

tests for equal forecast accuracy under heteroskedasticity (replication data)

This archive contains the replication files for "Tests for equal forecast accuracy under heteroskedasticity" by David Harvey, Stephen Leybourne and Yang Zu, in Journal of Applied Econometrics. Data and code for the empirical illustration are provided: see the readme.hlz.txt file for details and the zip folder for the code and data.

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Harvey, David; Leybourne, Stephen; Zu, Yang (2023): Tests for equal forecast accuracy under heteroskedasticity (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2023347.1628818346

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