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.

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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:	Discussion Paper / Institute for Empirical Macroeconomics.
Type of publication:	Book / Working Paper
Notes:	Number 52
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005372803