Robust tests of predictive accuracy

Dell'Aquila, Rosario; Ronchetti, Elvezio

Scientific article

English

Robust tests of predictive accuracy

Contributors

Dell'Aquila, Rosario; Ronchetti, Elvezio

Published in

Metron, vol. LXII, no. 2, p. 161-184

Publication date

2004

Abstract

We propose robust counterparts to tests of equal forecast accuracy such as those proposed by Diebold and Mariano (1995) and West (1996). We illustrate the robustness problem and evaluate the size and the power properties of the classical and robust tests under various types of deviations from model assumptions. The new robust test has a correct size and larger power across a wide spectrum of distributions including in particular heavy-tailed distributions

Keywords

Deviations from a model
Forecasting
Influence function
Robustness of power
Robustness of size

UNIGE affiliation entities

Faculté d'économie et de management / Research Center for Statistics

Citation (ISO format)

DELL’AQUILA, Rosario, RONCHETTI, Elvezio. Robust tests of predictive accuracy. In: Metron, 2004, vol. LXII, n° 2, p. 161–184.

Article (Published version)

Identifiers

PID : unige:22948

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Creation

12/09/2012 19:59:00

First validation

12/09/2012 19:59:00

Update

14/10/2025 00:00:37

Status update

14/03/2023 17:41:00

Last indexation

31/08/2026 08:50:46

Robust tests of predictive accuracy

Contributors

Published in

Publication date

Abstract

Keywords

UNIGE affiliation entities

Citation (ISO format)

Main files (1)

Identifiers

Technical informations

Creation

First validation

Update

Status update

Last indexation