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

Additional URL

http://doi.org/10.1016/j.jeconom.2012.01.014

Included in

Econometrics Commons

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