I have computed forecasts with 4 different methods, namely OLS, Elastic Net, Cubic splines in combination with Lasso, and Neural Network. All models use the same set of base variables, except cubic splines adds the 'spline terms' as well. My first question then is, are these models nested?
I am interested to compare the forecasting performance of these methods, and was thinking of using the Diebold Mariano (1995) test. Now I read in another thread that in case the models are nested, the critical values are not good anymore. Is this true? And if so, what should I do?