Abstract
We approximate the p-values for the non-standard asymptotic null distribution of predictive tests proposed by Ghysels et al. (Journal of Econometrics,1997;82:209–233). The p-value response surfaces are approximated by a parametric function using the methodology proposed by Hansen (Journal of Business and Economic Statistics, 1997;15:60–67). We illustrate the use of the approximate p-values through an application to consumption based asset pricing models.
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