Comparing forecast accuracy in small samples

Auteurs

• Roland Döhrn

Paramètres

• Affaires et économie

En savoir plus sur le livre

The Diebold-Mariano-Test has become a common tool to compare the accuracy of macroeconomic forecasts. Since these are typically model-free forecasts, distribution free tests might be a good alternative to the Diebold-Mariano-Test. This paper suggests a permutation test. Stochastic simulations show that permutation tests outperform the Diebold-Mariano-Test. Furthermore, a test statistic based on absolute errors seems to be more sensitive to differences in forecast accuracy than a statistic based on squared errors

Achat du livre

• Année de publication: 2019
• Reliure: (rigide)