Comparing Predictive Accuracy

Francis Diebold and Roberto Mariano

Journal of Business & Economic Statistics, 2002, vol. 20, issue 1, 134-44

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.

Date: 2002
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Journal Article: Comparing Predictive Accuracy (1995)
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