Forecast evaluation tests and negative long-run variance estimates in small samples
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DOI: 10.1016/j.ijforecast.2017.05.001
Abstract: In this paper, we show that when computing standard Diebold-Mariano-type tests for equal forecast accuracy and forecast encompassing, the long-run variance can frequently be negative when dealing with multi-step-ahead predictions in small, but empirically relevant,… read more here.
Keywords: evaluation tests; forecast evaluation; long run; run variance ... See more keywords