Comparing predictive accuracy in small samples

Laura Coroneo and Fabrizio Iacone

Discussion Papers from Department of Economics, University of York

Abstract: We consider fixed-b and fixed-m asymptotics for the Diebold and Mariano (1995) test of predictive accuracy. We show that this approach allows to obtain predictive accuracy tests that are correctly sized even in small samples. We apply the alternative asympotics for the Diebold and Mariano (1995) test to evaluate the predictive accuracy of the Survey of Professional Forecasters (SPF) against a simple random walk. Our results show that the predictive ability of the SPF was partially spurious, especially in the last decade.

Keywords: Diebold and Mariano test; long run variance estimation; fixed-b and fixed-m asymptotic theory; SPF. (search for similar items in EconPapers)
JEL-codes: C12 C32 C53 E17 (search for similar items in EconPapers)
Date: 2015-09
New Economics Papers: this item is included in nep-ecm and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:yor:yorken:15/15

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