A modified Diebold-Mariano test for equal forecast accuracy with clustered dependence

DOI10.1016/J.ECONLET.2021.110029zbMath1473.62191OpenAlexW3189508143MaRDI QIDQ1984445

Haiqi Li, Jin Zhou, Wanling Zhong

Publication date: 16 September 2021

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.110029

zbMATH Keywords

moving block bootstrapDiebold-Mariano testclustered dependence

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Hypothesis testing in multivariate analysis (62H15)

Cites Work

• Unnamed Item
• Random group effects and the precision of regression estimates
• Asymptotic theory for clustered samples
• Inference in time series models using smoothed-clustered standard errors
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Asymptotic Inference about Predictive Ability

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