On a Bootstrap Test for Forecast Evaluations

Marian Vavra ()

No WP 5/2015, Working and Discussion Papers from Research Department, National Bank of Slovakia

Abstract: This paper is concerned with the problem of testing for the equal forecast accuracy of competing models using a bootstrap-based Diebold-Mariano test statistic. The finite-sample properties of the test are assessed via Monte Carlo experiments. As an illustration, the forecast accuracy of the US Survey of Professional Forecasters is compared to that of an autoregressive model. The empirical results indicate that professionals beat AR models systematically only for a single economic variable – the unemployment rate

Keywords: Forecast evaluation; Diebold-Mariano test; Sieve bootstrap (search for similar items in EconPapers)
JEL-codes: C12 C15 C32 C53 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2015-06
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
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Persistent link: https://EconPapers.repec.org/RePEc:svk:wpaper:1034

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