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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

Abstract: 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)
Date: 1991
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