Statistical tests for multiple forecast comparison

DOI10.1016/J.JECONOM.2012.01.014zbMath1443.62491OpenAlexW2155402679MaRDI QIDQ105896

Roberto S. Mariano, Daniel Preve, Roberto S. Mariano, Daniel Preve

Publication date: July 2012

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/2331

zbMATH Keywords

Diebold-Mariano testfinite-sample correctionforecast comparisonmultivariate tests of equal predictive ability

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Hypothesis testing in multivariate analysis (62H15)

Related Items (4)

Risks in emerging markets equities: time-varying versus spatial risk analysis ⋮ Combining p-values for Multivariate Predictive Ability Testing ⋮ Unnamed Item ⋮ multDM

Cites Work

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• Asymptotic Inference about Predictive Ability
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• Predictive ability with cointegrated variables

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