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

DOI10.1016/J.ECONLET.2021.110029zbMATH Open1473.62191OpenAlexW3189508143MaRDI QIDQ1984445FDOQ1984445

Authors: Jin Zhou, Haiqi Li, 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

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zbMATH Keywords

Diebold-Mariano testmoving block bootstrapclustered dependence

Mathematics Subject Classification ID

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

Cites Work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Asymptotic Inference about Predictive Ability
• Title not available (Why is that?)
• Random group effects and the precision of regression estimates
• Asymptotic theory for clustered samples
• Inference in time series models using smoothed-clustered standard errors

Cited In (1)

• Unifying mortality forecasting model: an investigation of the COM-Poisson distribution in the GAS model for improved projections

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