Statistical tests for multiple forecast comparison

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

11 Scopus Citations
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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)123-130
Journal / PublicationJournal of Econometrics
Volume169
Issue number1
Publication statusPublished - Jul 2012
Externally publishedYes

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. © 2012 Elsevier B.V. All rights reserved.

Research Area(s)

  • Diebold-Mariano test, Finite-sample correction, Forecast comparison, Multivariate tests of equal predictive ability

Citation Format(s)

Statistical tests for multiple forecast comparison. / Mariano, Roberto S.; Preve, Daniel.

In: Journal of Econometrics, Vol. 169, No. 1, 07.2012, p. 123-130.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal