Laura Coroneo, Fabrizio Iacone
arXiv 19 Sep 2024 · Econometrics · publishedInternational Journal of Forecasting (2024) · 5 citations (OpenAlex)
arXiv:2409.12662 · PDF · DOI · OpenAlex · Extracted main text
We analyse the properties of the Diebold and Mariano (1995) test in the presence of autocorrelation in the loss differential. We show that the power of the Diebold and Mariano (1995) test decreases as the dependence increases, making it more difficult to obtain statistically significant evidence of superior predictive ability against less accurate benchmarks. We also find that, after a certain threshold, the test has no power and the correct null hypothesis is spuriously rejected. Taken together, these results caution to seriously consider the dependence properties of the loss differential before the application of the Diebold and Mariano (1995) test.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Diebold and Mariano (1995) `Comparing predictive accuracy.' Journal of Business & Economic Statistics 20(1), 253–263 | 1.000 | 8 | 4 | 100% |
| 2 | Kiefer and Vogelsang (2005) `A new asymptotic theory for heteroskedasticity-autocorrelation robust tests.' Econometric Theory 21(6), 1130–1164 | 0.928 | 5 | 4 | 80% |
| 3 | Phillips (1987) `Towards a unified asymptotic theory for autoregression.' Biometrika 74(3), 535–547 | 0.894 | 7 | 3 | 71% |
| 4 | Coroneo and Iacone (2020) `Comparing predictive accuracy in small samples using fixed-smoothing asymptotics.' Journal of Applied Econometrics 35(4), 391–409 | 0.843 | 3 | 3 | 100% |
| 5 | Diebold (2015) `Comparing predictive accuracy, twenty years later: A personal perspective on the use and abuse of Diebold–Mariano tests.' Journ… | 0.811 | 4 | 2 | 100% |
| 6 | Phillips and Magdalinos (2007) `Limit theory for moderate deviations from a unit root.' Journal of Econometrics 136(1), 115–130 | 0.737 | 3 | 2 | 100% |
| 7 | Clark (1999) `Finite-sample properties of tests for equal forecast accuracy.' Journal of Forecasting 18(7), 489–504 | 0.737 | 3 | 2 | 100% |
| 8 | Giacomini and White (2006) `Tests of conditional predictive ability.' Econometrica 74(6), 1545–1578 | 0.737 | 3 | 2 | 100% |
| 9 | Giraitis and Phillips (2012) `Mean and autocovariance function estimation near the boundary of stationarity.' Journal of Econometrics 169(2), 166–178 | 0.693 | 9 | 3 | 33% |
| 10 | Phillips and Magdalinos (2007) `Limit theory for moderate deviations from a unit root under weak dependence.' In: Phillips, G.D.A., Tzavalis, E | 0.644 | 3 | 2 | 67% |
Showing the top 10 of 41 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
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| 1 | Forecasting for monetary policy | 0.511 | 2 | 1 |