\(\newcommand{\mub}{{\boldsymbol{\mu}}} \newcommand{\eb}{{\boldsymbol{e}}} \newcommand{\betab}{\boldsymbol{\beta}}\)Applied time-series researchers often want to compare the accuracy of a pair of competing forecasts. A popular statistic for forecast comparison is the mean squared forecast error (MSFE), a smaller value of which implies a better forecast. However, a formal test, such as Diebold and Mariano (1995), distinguishes whether the superiority of one […]
↧