Forecast Evaluation of Small Nested Model Sets
---- Acknowledgements ----
We thank Roberto Duncan, Eleonora Granziera and Maria Zucca for research assistance, Michael McCracken for supplying the unpublished tables of quantiles referenced in section 3, and Raffaella Giacomini, participants at the 5th ECB Workshop on Forecasting Techniques, two anonymous referees and Tim Bollerslev (the editor) for helpful comments. West thanks the National Science Foundation for financial support. The views expressed here are not necessarily those of the European Central Bank nor of the National Bureau of Economic Research.