Statistical tests for multiple forecast comparison

DOI10.1016/J.JECONOM.2012.01.014MaRDI QIDQ105896zbMATH OpenOpenAlexFDO

Authors Roberto S. Mariano, Daniel Preve

Publication date July 2012

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://ink.library.smu.edu.sg/soe_research/2331, http://www.sciencedirect.com/science/article/pii/S0304407612000152

zbMATH Keywords

Diebold-Mariano testfinite-sample correctionforecast comparisonmultivariate tests of equal predictive ability

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)

Recommendations

• Testing Multiple Forecasters
• The use of encompassing tests for forecast combinations
• Improved tests for forecast comparisons in the presence of instabilities
• Efficient Testing of Forecasts
• Efficient testing of forecasts
• Testing for the usefulness of forecasts

Cites work

• A Reality Check for Data Snooping
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Approximately normal tests for equal predictive accuracy in nested models
• Asymptotic Inference about Predictive Ability
• Asymptotics for out of sample tests of Granger causality
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 3673370 (Why is no real title available?)
• scientific article; zbMATH DE number 3036187 (Why is no real title available?)
• Modeling Multiple Times Series with Applications
• Predictive ability with cointegrated variables
• Predictive density and conditional confidence interval accuracy tests
• Robust out-of-sample inference
• Stepwise Multiple Testing as Formalized Data Snooping
• Testing forecast accuracy
• Tests of Conditional Predictive Ability
• The Model Confidence Set
• Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis

Cited in

(17)

• multDM
• Forecast dominance testing via sign randomization
• On comparing multi-horizon forecasts
• A modified Diebold-Mariano test for equal forecast accuracy with clustered dependence
• Robust tests of predictive accuracy
• Risks in emerging markets equities: time-varying versus spatial risk analysis
• A predictability test for a small number of nested models
• Improved tests for forecast comparisons in the presence of instabilities
• Measuring the Advantages of Multivariate vs. Univariate Forecasts
• Equivalence between out-of-sample forecast comparisons and Wald statistics
• Diverging tests of equal predictive ability
• Robust forecast comparison
• Testing forecast accuracy
• Evaluating Direct Multistep Forecasts
• Improving bitcoin price prediction power by time-scale decomposition and GMDH-type neural network: a comparison of different periods and features
• Combining p-values for Multivariate Predictive Ability Testing
• Estimation and application of the vector-valued AR-GoGARCH models: symmetric and asymmetric innovations

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