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评论（摘要涉及 Diebold–Mariano 预测评价检验）AI 解读

The Diebold-Mariano (1995) test has played an important role in the annals of forecast evaluation. Its simplicity—essentially amounting to computing a robust t-statistic—and its generality—applying...

样本外预测比较与 Wald 统计量的等价性AI 解读

We demonstrate the asymptotic equivalence between commonly used test statistics for out-of-sample forecasting performance and conventional Wald statistics. This equivalence greatly simplifies the computational burden of calculating recursive out-of-sample test statistics and their critical values. For the case with nested models, we show that the limit distribution, which has previously been expressed through stochastic integrals, has a simple representation in terms of…

优越预测能力检验AI 解读

We propose a new test for superior predictive ability. The new test compares favorably to the reality check (RC) for data snooping, because it is more powerful and less sensitive to poor and irrelevant alternatives. The improvements are achieved by two modifications of the RC. We use a studentized test statistic that reduces the influence of erratic forecasts and invoke a sample-dependent null distribution. The advantages of the new test are confirmed by Monte Carlo…

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