"Estimating the Expected Predictive Accuracy of
International Economic Review, June 1980, 355-378.
pdf file (1,417KB).
I have used this method in much of my work. The method is used in 1979#3 to compare four models. It is used in 1982#3 to estimate misspecificaton effects in the US model. It is used in 1991#2 and 1986#2 to compare the Michigan model and the US model.
The method is also discussed in Chapter 8, Section 8.4, in 1984#2, in 1986#1, and in Chapter 7, Section 7.7, in 1994#2.
The method requires successive reestimation and stochastic simulation of the model being examined, and all this is programmed into the Fair-Parke program. See example 15.1 in Chapter 15 of the FP User's Guide, which goes through the necessary commands step by step.