Comparing Predictive Accuracy

Francis X. Diebold, Robert S. Mariano

NBER Technical Working Paper No. 169
Issued in November 1994
NBER Program(s):   EFG

Using research designs patterned after randomized experiments, many recent economic studies examine outcome measures for treatment groups and comparison groups that are not randomly assigned. By using variation in explanatory variables generated by changes in state laws, government draft mechanisms, or other means, these studies obtain variation that is readily examined and is plausibly exogenous. This paper describes the advantages of these studies and suggests how they can be improved. It also provides aids in judging the validity of inferences they draw. Design complications such as multiple treatment and comparison groups and multiple pre- or post-intervention observations are advocated.

(867 K)

Published: Journal of Business and Economic Statistics (1995), vol. 13, pp. 253-265.

This paper is available as PDF (867 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX