Approximately Normal Tests for Equal Predictive Accuracy in Nested Models
---- Acknowledgements -----
West thanks the National Science Foundation for financial support. We thank Pablo M. Pincheira-Brown, Philip Hans Franses, Taisuke Nakata, Norm Swanson, participants in a session at the January 2006 meeting of the Econometric Society and two anonymous referees for helpful comments. The views expressed herein are solely those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of Kansas City or the Federal Reserve System.