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Comparing Predictive Accuracy (1995)
by
Francis X. Diebold
,
Roberto S. Mariano
| Venue: | JOURNAL OF BUSINESS AND ECONOMIC STATISTICS, 13, 253-265 |
| Citations: | 1333 - 20 self |
BibTeX
@MISC{Diebold95comparingpredictive,
author = {Francis X. Diebold and Roberto S. Mariano},
title = { Comparing Predictive Accuracy },
year = {1995}
}
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Abstract
We propose and evaluate explicit tests 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. Asymptotic and exact finite sample tests are proposed, evaluated, and illustrated.
