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Statistical tests for multiple forecast comparison

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Author Info

  • Mariano, Roberto S.
  • Preve, Daniel

Abstract

We consider a multivariate version of the Diebold–Mariano test for equal predictive ability of three or more forecasting models. The Wald-type test, S, which has a null distribution that is asymptotically chi-squared, is shown to be generally invariant with respect to the ordering of the models being compared. Finite-sample corrections for the test are also developed. Monte Carlo simulations indicate that S has reasonable size properties in large samples but tends to be oversized in moderate samples. The finite-sample correction succeeds in correcting for size, but only partially. For the size-adjusted tests, power increases with sample size, as expected. It is speculated that further finite-sample improvements can be achieved using Hotelling’s T2 or bootstrap critical values.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 169 (2012)
Issue (Month): 1 ()
Pages: 123-130

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Handle: RePEc:eee:econom:v:169:y:2012:i:1:p:123-130

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Web page: http://www.elsevier.com/locate/jeconom

Related research

Keywords: Forecast comparison; Multivariate tests of equal predictive ability; Diebold–Mariano test; Finite-sample correction;

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References

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Citations

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Cited by:
  1. Wilmer Osvaldo Martínez-Rivera & Manuel Dario Hernández-Bejarano & Juan Manuel Julio-Román, 2014. "On Forecast Evaluation," Borradores de Economia 825, Banco de la Republica de Colombia.
  2. Guzman, Giselle C., 2011. "The case for higher frequency inflation expectations," MPRA Paper 36656, University Library of Munich, Germany.
  3. Guzman, Giselle C., 2010. "An inflation expectations horserace," MPRA Paper 36511, University Library of Munich, Germany.
  4. Wilmer Osvaldo Martínez-Rivera & Manuel Dario Hernández-Bejarano & Juan Manuel Julio-Román, 2014. "On Forecast Evaluation," BORRADORES DE ECONOMIA 011604, BANCO DE LA REPÚBLICA.

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