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Comparing predictive accuracy I: an asymptotic test

We propose and evaluate an explicit test of the null hypothesis of no difference in the accuracy of two competing forecasts. In contrast to previously developed tests, a wide variety of accuracy measures can be used (in particular, the loss function need not be quadratic, and need not even be symmetric), and forecast errors can be non-Gaussian, nonzero mean, serially correlated and contemporaneously correlated.
Year of publication:
1991
Authors: Diebold, Francis X. ; Mariano, Roberto S.
Institutions: Federal Reserve Bank of Minneapolis
Subject: Econometrics
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Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Number 52
Source:
Persistent link: https://www.econbiz.de/10005372803
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