Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests
NBER Working Paper No. 18391
The Diebold-Mariano (DM) test was intended for comparing forecasts; it has been, and remains, useful in that regard. The DM test was not intended for comparing models. Unfortunately, however, much of the large subsequent literature uses DM-type tests for comparing models, in (pseudo-) out-of-sample environments. In that case, much simpler yet more compelling full-sample model comparison procedures exist; they have been, and should continue to be, widely used. The hunch that (pseudo-) out-of-sample analysis is somehow the "only," or "best," or even a "good" way to provide insurance against in-sample over-fitting in model comparisons proves largely false. On the other hand, (pseudo-) out-of-sample analysis may be useful for learning about comparative historical predictive performance.
Document Object Identifier (DOI): 10.3386/w18391
Published: Journal of Business & Economic Statistics Volume 33, Issue 1, 2015 Select Language▼ Translator disclaimer Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold–Mariano Tests Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold–Mariano Tests Preview View full text Download full text View & annotate PDF Add to colwiz Library Access options DOI: 10.1080/07350015.2014.983236 Francis X. Diebolda page 1 Publishing models and article dates explained Received: 1 Sep 2014 Published online: 26 Jan 2015 citation courtesy of
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