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Statistical tests for multiple forecast comparison

  • Mariano, Roberto S.
  • Preve, Daniel

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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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
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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