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I need to compare one benchmark models regarding their "informational efficiency" against three other models. From my search I can now say, that this usually refers to the question how well a model is utilizing the information until t to forecast t+h.

I have found mincer-zarnowitz test, to test each model. But how to test for information efficiency for

  • Model Benchmark against model A
  • Model Benchmark against model B
  • Model Benchmark against model C

?

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