Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests

Francis Diebold

Journal of Business & Economic Statistics, 2015, vol. 33, issue 1, 1-1

Abstract: The Diebold-Mariano ( ) test was intended for comparing forecasts; it has been, and remains, useful in that regard. The test was not intended for comparing models. Much of the large ensuing literature, however, uses -type tests for comparing models, in pseudo-out-of-sample environments. In that case, simpler yet more compelling full-sample model comparison procedures exist; they have been, and should continue to be, widely used. The hunch that pseudo-out-of-sample analysis is somehow the "only," or "best," or even necessarily a "good" way to provide insurance against in-sample overfitting in model comparisons proves largely false. On the other hand, pseudo-out-of-sample analysis remains useful for certain tasks, perhaps most notably for providing information about comparative predictive performance during particular historical episodes.

Date: 2015
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Working Paper: Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests (2012)
Working Paper: Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests (2012)
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DOI: 10.1080/07350015.2014.983236

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