COMPARING PREDICTIVE ACCURACY

被引:5080
作者
DIEBOLD, FX
MARIANO, RS
机构
[1] NATL BUR ECON RES,CAMBRIDGE,MA 02138
[2] UNIV PENN,DEPT ECON,PHILADELPHIA,PA 19104
关键词
ECONOMIC LOSS FUNCTION; EXCHANGE RATES; FORECAST EVALUATION; FORECASTING; NONPARAMETRIC TESTS; SIGN TEST;
D O I
10.2307/1392185
中图分类号
F [经济];
学科分类号
02 ;
摘要
We propose and evaluate explicit tests of the null hypothesis of no difference in the accuracy of two competing forecasts. In contrast to previously developed tests, a wide variety of accuracy measures can be used (in particular, the loss function need not be quadratic and need not even be symmetric), and forecast errors can be non-Gaussian, nonzero mean, serially correlated, and contemporaneously correlated. Asymptotic and exact finite-sample tests are proposed, evaluated, and illustrated.
引用
收藏
页码:253 / 263
页数:11
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