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Comparing Predictive Accuracy

Diebold, Francis X., Mariano, Roberto S.·1995·Journal of Business & Economic Statistics
DOI 10.1080/07350015.1995.10524599
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Abstract

We propose and evaluate explicit tests of the null hypothesis of no difference in the accuracy of two competing forecasts. In contrast to previously developed tests, a wide variety of accuracy measures can be used (in particular, the loss function need not be quadratic and need not even be symmetric), and forecast errors can be non-Gaussian, nonzero mean, serially correlated, and contemporaneously correlated. Asymptotic and exact finite-sample tests are proposed, evaluated, and illustrated.

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Metadata

Authors
Diebold, F. X., & Mariano, R. S.
Venue
Journal of Business & Economic Statistics
Publisher
Informa UK Limited
Published
1995-07
Volume
13
Issue
3
Pages
253-263
ISSN
  • 0735-0015 (ISSN-L)
  • 1537-2707
DOI
10.1080/07350015.1995.10524599
OpenAlex
W4291327732
Cited by
5,130
References
0
FWCI
12.89
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Comparing Predictive Accuracy. https://app.cochat.ai/papers/10.1080/07350015.1995.10524599
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Diebold, F. X., & Mariano, R. S. (1995). Comparing Predictive Accuracy. Journal of Business & Economic Statistics. https://doi.org/10.1080/07350015.1995.10524599

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