A new self-normalized forecast comparison test

DOI10.1016/J.ECONLET.2025.112646MaRDI QIDQ6896526zbMATH OpenFDO

Authors Haiqi Li, Ni Zhang

Publication date 21 November 2025

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ECONLET.2025.112646

zbMATH Keywords

Diebold-Mariano testfunctional central limit theorempredictive accuracyself-normalization

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A modified Diebold-Mariano test for equal forecast accuracy with clustered dependence
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• A self-normalized approach to confidence interval construction in time series
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• Testing for change points in time series
• Testing for Equal Average Forecast Accuracy in Possibly Unstable Environments
• Testing That a Dependent Process Is Uncorrelated
• Time Series Regression with a Unit Root

Cited in

(1)

• Self-normalized tests for multistep conditional predictive ability

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