Comparing Predictive Accuracy

1995/07/01 by Francis X. Diebold, Roberto S. Mariano · 11 citations
Decision Sciences · Economics, Econometrics and Finance · #Financial Risk and Volatility Modeling #Forecasting Techniques and Applications #Monetary Policy and Economic Impact

paper · doi:10.1080/07350015.1995.10524599

openalex publication_date 1995/07/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/04

Abstract

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.

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