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Scientific article
English

Robust tests of predictive accuracy

Published inMetron, vol. LXII, no. 2, p. 161-184
Publication date2004
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
Citation (ISO format)
DELL’AQUILA, Rosario, RONCHETTI, Elvezio. Robust tests of predictive accuracy. In: Metron, 2004, vol. LXII, n° 2, p. 161–184.
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Article (Published version)
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Identifiers
  • PID : unige:22948
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Technical informations

Creation09/12/2012 7:59:00 PM
First validation09/12/2012 7:59:00 PM
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