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Cited by 496Forecasting Techniques and ApplicationsStatistical Methods and InferenceMonetary Policy and Economic Impact

The DOI matches its Crossref record; 41 of the 41 references it cites were found in a registry or an index.

Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests

Diebold, Francis X.·2015·Journal of Business & Economic Statistics
DOI 10.1080/07350015.2014.983236
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Abstract

The Diebold–Mariano (DM) test was intended for comparing forecasts; it has been, and remains, useful in that regard. The DM test was not intended for comparing models. Much of the large ensuing literature, however, uses DM-type tests for comparing models, in pseudo-out-of-sample environments. In that case, simpler yet more compelling full-sample model comparison procedures exist; they have been, and should continue to be, widely used. The hunch that pseudo-out-of-sample analysis is somehow the “only,” or “best,” or even necessarily a “good” way to provide insurance against in-sample overfitting in model comparisons proves largely false. On the other hand, pseudo-out-of-sample analysis remains useful for certain tasks, perhaps most notably for providing information about comparative predictive performance during particular historical episodes.

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Research works printed but not linked: 2

  1. Durham G., 2013, Journal of Financial Econometrics, 11
  2. Elliott G., 2006, Handbook of Economic Forecasting, 33, 100

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Metadata

Authors
Diebold, F. X.
Affiliations
University of Pennsylvania (US)
Corresponding author
Diebold, Francis X.
Venue
Journal of Business & Economic Statistics
Publisher
Informa UK Limited
Published
2015-01-02
Volume
33
Issue
1
Pages
1-1
ISSN
  • 0735-0015 (ISSN-L)
  • 1537-2707
DOI
10.1080/07350015.2014.983236
OpenAlex
W2007694684
Cited by
496
References
41
Citations by year
2026: 66 · 2025: 60 · 2024: 48 · 2023: 46 · 2022: 39 · 2021: 46 · 2020: 35 · 2019: 34 · 2018: 36 · 2017: 33 · 2016: 20 · 2015: 22
FWCI
46.52
Type
journal article
Language
en
Open access
closed
Locations
  • Journal of Business and Economic Statistics (publishedVersion)
  • RePEc: Research Papers in Economics (submittedVersion)
Topics
  • Social Sciences › Decision Sciences › Management Science and Operations Research › Forecasting Techniques and Applications
  • Physical Sciences › Mathematics › Statistics and Probability › Statistical Methods and Inference
  • Social Sciences › Economics, Econometrics and Finance › General Economics, Econometrics and Finance › Monetary Policy and Economic Impact
Keywords
Diebold-Mariano test, forecast evaluation, model comparison, prediction accuracy, forecasting model comparison

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