Creator

• Diebold, Francis X., 1959-
• Mariano, Roberto S.

Series

• Discussion paper (Federal Reserve Bank of Minneapolis. Institute for Empirical Macroeconomics)

Issue number

• 052

Date created

• 1991-09-01

Abstract

• We propose and evaluate an explicit test 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.

Subject (JEL)

• C14 - Semiparametric and Nonparametric Methods: General
• C53 - Forecasting Models; Simulation Methods
• F31 - Foreign Exchange

Related information

• Published in: Journal of Business and Economic Statistics (Vol. 13, No. 3, July 1993, pp. 253-263) https://doi.org/10.2307/1392185.

Corporate Author

• Federal Reserve Bank of Minneapolis. Institute for Empirical Macroeconomics

Publisher

• Federal Reserve Bank of Minneapolis

Resource type

• Research Paper

DOI

•  https://doi.org/10.21034/dp.52

License

• Creative Commons BY-NC Attribution-NonCommercial 4.0 International

In Collection:

• Discussion Papers

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