Comparing Predictive Accuracy

Francis Diebold and Roberto Mariano

Journal of Business & Economic Statistics, 1995, vol. 13, issue 3, 253-63

Abstract: The authors 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.

Date: 1995
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Related works:
Journal Article: Comparing Predictive Accuracy (2002)
Working Paper: Comparing Predictive Accuracy (1994)
Software Item: DMARIANO: RATS procedure to compute Diebold-Mariano Forecast Comparison Test
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