A new self-normalized forecast comparison test

This study develops a novel self-normalized Diebold–Mariano (DM) test for evaluating equal forecast accuracy. The proposed test offers several distinct advantages: it avoids bandwidth selection and bypasses direct estimation of long-run variances, both of which are typically required in conventional...

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Bibliographic Details

Published in:	Economics letters Vol. 256; p. 112646
Main Authors:	Li, Haiqi, Zhang, Ni, Zhou, Jin
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01.10.2025
Subjects:	Diebold–Mariano test Functional central limit theorem Predictive accuracy Self-normalization C22 Predictive accuracy C12 Diebold–Mariano test Functional central limit theorem Self-normalization
ISSN:	0165-1765
Online Access:	Get full text
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