| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w18391
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| 来源ID | Working Paper 18391
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| Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests |
| Francis X. Diebold
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| 发表日期 | 2012-09-13
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| 出版年 | 2012
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| 语种 | 英语
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| 摘要 | 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. |
| 主题 | Econometrics
; Estimation Methods
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| URL | https://www.nber.org/papers/w18391
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576068
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推荐引用方式
GB/T 7714 |
Francis X. Diebold. Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests. 2012.
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文件名：
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w18391.pdf
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格式：
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Adobe PDF
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