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Comparing predictive accuracy under long memory : with an application to volatility forecasting

Kruse, Robinson; Leschinski, Christian; Will, Michael - 2016

This paper extends the popular Diebold-Mariano test to situations when the forecast error loss differential exhibits long memory. It is shown that this situation can arise frequently, since long memory can be transmitted from forecasts and the forecast objective to forecast error loss...

Persistent link: https://www.econbiz.de/10011430242

A modified Diebold-Mariano test for equal forecast accuracy with clustered dependence

Zhou, Jin; Li, Haiqi; Zhong, Wanling - In: Economics letters 207 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10013170014

Comparing predictive accuracy, twenty years later : a personal perspective on the use and abuse of Diebold-Mariano tests

Diebold, Francis X. - 2012

Persistent link: https://www.econbiz.de/10009631286

The unemployment rate forecasts evaluation using new aggregated accuracy indicators

Bratu, Mihaela - In: Acta Universitatis Danubius / Oeconomica 11 (2015) 4, pp. 45-55

Persistent link: https://www.econbiz.de/10011625300

Assessing predictive accuracy in panel data models with long-range dependence

Borup, Daniel; Christensen, Bent Jesper; Ergemen, Yunus Emre - 2019

Persistent link: https://www.econbiz.de/10011991275

Comparing forecast accuracy in small samples

Döhrn, Roland - 2019

The Diebold-Mariano-Test has become a common tool to compare the accuracy of macroeconomic forecasts. Since these are typically model-free forecasts, distribution free tests might be a good alternative to the Diebold-Mariano-Test. This paper suggests a permutation test. Stochastic simulations...