Comparing predictive accuracy I: an asymptotic test
Francis Diebold () and
Roberto Mariano ()
No 52, Discussion Paper / Institute for Empirical Macroeconomics from Federal Reserve Bank of Minneapolis
We propose and evaluate an explicit test 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.
Keywords: Econometrics (search for similar items in EconPapers)
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