Statistical tests for multiple forecast comparison

• Main Authors: MARIANO, Roberto, PREVE, Daniel P. A.
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2012
• 主題: Econometrics
• 在線閱讀: 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

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...