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...

Celý popis

Podrobná bibliografia

Vydané v:	Economics letters Ročník 256; s. 112646
Hlavní autori:	Li, Haiqi, Zhang, Ni, Zhou, Jin
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Elsevier B.V 01.10.2025
Predmet:	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
On-line prístup:	Získať plný text
Tagy:	Pridať tag Žiadne tagy, Buďte prvý, kto otaguje tento záznam!