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

DOI10.1016/J.ECONLET.2021.110029MaRDI QIDQ1984445zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 854585 (Why is no real title available?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Asymptotic Inference about Predictive Ability
• Asymptotic theory for clustered samples
• Inference in time series models using smoothed-clustered standard errors
• Random group effects and the precision of regression estimates

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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