Statistical tests for multiple forecast comparison
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DOI: 10.1016/j.jeconom.2012.01.014
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More about this item
Keywords
Forecast comparison; Multivariate tests of equal predictive ability; Diebold–Mariano test; Finite-sample correction;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
Statistics
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