Statistical tests for multiple forecast comparison
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 bein...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2012
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2331 https://ink.library.smu.edu.sg/context/soe_research/article/3330/viewcontent/Statistical_Tests_for_Multiple_Forecast.pdf |
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| Institution: | Singapore Management University |
| Language: | English |