Statistical tests for multiple forecast comparison

Journal of Econometrics

Volumn 169, Issue 1, 2012, Pages 123-130

  Mariano, Roberto S ^a,b   Preve, Daniel ^b,c  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

^c UPPSALA UNIVERSITY   (Sweden)

Author keywords

Diebold Mariano test; Finite sample correction; Forecast comparison; Multivariate tests of equal predictive ability

Indexed keywords

CHI-SQUARED; CRITICAL VALUE; DIEBOLD-MARIANO TEST; FORECAST COMPARISONS; FORECASTING MODELS; MONTE CARLO SIMULATION; NULL DISTRIBUTION; POWER INCREASE; PREDICTIVE ABILITIES; SAMPLE SIZES;

FORECASTING; MONTE CARLO METHODS;

STATISTICAL TESTS;

EID: 84861877729     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2012.01.014     Document Type: Conference Paper

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