Comparing Predictive Accuracy
Francis X. Diebold, Roberto S. Mariano
Journal of Business and Economic Statistics · 1995 · 5,146 citations
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.
Cite this paper
Diebold, F. X., & Mariano, R. S. (1995). Comparing predictive accuracy. Journal of Business and Economic Statistics, 13(3), 253–263. https://doi.org/10.1080/07350015.1995.10524599
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