Publication Type
Journal Article
Version
submittedVersion
Publication Date
7-2012
Abstract
We consider a multivariate version of the Diebold–Mariano test for equal predictive ability of three or more forecasting models. The Wald-type test, S, which has a null distribution that is asymptotically chi-squared, is shown to be generally invariant with respect to the ordering of the models being compared. Finite-sample corrections for the test are also developed. Monte Carlo simulations indicate that S has reasonable size properties in large samples but tends to be oversized in moderate samples. The finite-sample correction succeeds in correcting for size, but only partially. For the size-adjusted tests, power increases with sample size, as expected. It is speculated that further finite-sample improvements can be achieved using Hotelling’s T2 or bootstrap critical values.
Discipline
Econometrics
Research Areas
Econometrics
Publication
Journal of Econometrics
Volume
169
Issue
1
First Page
123
Last Page
130
ISSN
0304-4076
Identifier
10.1016/j.jeconom.2012.01.014
Publisher
Elsevier: 24 months
Citation
MARIANO, Roberto and PREVE, Daniel P. A..
Statistical tests for multiple forecast comparison. (2012). Journal of Econometrics. 169, (1), 123-130.
Available at: https://ink.library.smu.edu.sg/soe_research/2331
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
http://doi.org/10.1016/j.jeconom.2012.01.014