# Questions tagged [diebold-mariano-test]

A test for superior predictive accuracy of one forecast over another.

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I preformed the DM test of two series on Python and got this result: DM=-0.8149537766612477, p_value=0.4170549576990228) How should I make the interpretation of ...
1 vote
24 views

### Is ARIMA-GARCH nested within ARIMA?

I wanted to compare ARIMA(1,1,1)-GARCH(1,1) and ARIMA(1,1,1) model forecasts with a Diebold-Mariano test, but I know that it cannot be used for nested models. Is ARIMA-GARCH technically nested within ...
18 views

### Statistical test for forecast performance over multiple runs

Lets say I have a time series, create a training and test set, and I want to compare the predictive accuracy of two models, by measuring e.g. the mean absolute error (MAE) over the test set. I know ...
1 vote
22 views

### How to compare different models in their ability to forecast the value-at-risk with Diebold-Mariano test?

I made value-at-risk forecasts for different models for the 95, 97.5 and 99%. I also made a dummy which equals 1 if the true return was below the value-at-risk, 0 otherwise. How can I compare those ...
12 views

### Statistical Tests for Models Performance using Multiple Simulated Data sets

In my project, I want to test whether Model 1 (M1) has equal or better performance than Model 2 (M2) using simulated datasets. Given the natural of the problem, I use the Diebold-Mariano test. The ...
51 views

### Diebold-Mariano test for comparing multivariate models

I want to know if there exists a Diebold-Mariano test version for comparing the accuracy of predictions between multivariate statistics models. For example, compare a VAR model and multivariate GARCH ...
1 vote
199 views

### Meaning of Diebold-Mariano (DM) test for other accuracy measures (MDA, $R^2$...)

I am trying to compare the accuracies of two time series forecasts. I read about the Diebold-Mariano (DM) Test, which tests the null hypothesis of $E[d_t]=0$, where $d_t=g(e_{it})-g(e_{jt})$ is the ...
30 views

### Vector valued time series forecast significance testing?

I have two vector valued time series forecasts, and the components of the vector can be correlated. How do i significance test (ex. diebold mariano) for which is the better forecaster? I found two ...
1 vote
252 views

### time series Diebold-Mariano Test n-ahead forecast in R

I have a question about "h" in dm.test & DM.test from package forecast & multDM, assume I set a ARIMA model to forecast n-ahead = 20 (using dynamic regression not one step forecast), ...
1 vote
64 views

### CLT in Diebold & Mariano (1995)

The Diebold-Mariano (DM) statistic is derived as follows: Assuming the loss-differential between the two models $d_t$ is covariance stationary: \begin{cases} \mathbb{E}[d_t] = \mu> 0 & \...
472 views

### How can I determine that a forecast is significantly more accurate than another one? (time series)

Reproducible Example Look at this reproducible example: I have a time series that I want to forecast. For the sake of reproducibility, I'll just take AirPassanger. ...
1 vote
152 views

### Diebold Mariano test for non time-series data

Can the Diebold Mariano test be used to compare the MSE of two models (trained on the same data) for non time series data?
421 views

### How to test superior predictive ability over multiple time series?

Suppose you have two models, model A and model B, and let these models forecast 10 time series over a horizon of 12 periods. That is, suppose the time series contain monthly data and your forecasting ...
1 vote
278 views

### Diebold-Mariano test for predictive accuracy with R

The following example code is from the documentation of the command dm.test from R. ...
225 views

### Specifying h in dm.test function in R

I have a question about the use of the dm.test function from the forecast package in R. Starting from ...
1 vote
328 views

### Should I use the Diebold-Mariano test year-by-year or on the overall forecast?

I have built two models, one ARIMAX and one VAR, to compare against a baseline ARIMA model to predict a weekly economic time series of interest. I am primarily comparing the accuracy of my models ...
362 views

### t-test for time series (Diebold Mariano test?)

Currently I am working on the following problem: I want to compare the means of two different time series ts1 and ts2. As the samples are not iid and t-test can't be applied, I thought to use the ...
690 views

### Alternatives for Diebold-Mariano test when comparing the best forecast among many against a benchmark

Suppose I encounter a new forecasting method and I wish to evaluate it against a benchmark. I can obtain forecasts from the two methods and compare them to actual realizations and thus obtain the ...
1 vote
129 views

### Is it possible to bootstrap a Diebold-Mariano test?

I am currently working on a small project where I want to use a (two-sided) 1-step ahead ($h=1$) Diebold Mariano test to compare forecast losses for different realized measures calculated on time-...
145 views

### Diebold Mariano test Nested Models

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 ...
270 views

### Can I give continuous rank probability score (CRPS) to Diebold-Mariano (DM) test?

I would like to use DM test for probabilistic forecasting case. My initial thinking was to give CRPS of two forecasting methods instead of raw forecast errors, where CRPS is calculated using ...
303 views

### Autocorrelation in loss function, want to perform DM test. How many lags to use? (R)

I have two sets of forecasting errors, and want to perform a DM test. Both forecasts are a fixed size moving window, and are 1 day ahead forecasts. The first step of performing the DM test is to ...
3k views

### How to test if two RMSE are significantly different?

Say I have two models for a regression task and from each model I get a RMSE. One RMSE is smaller than the other, however I wish to test if the difference is statistically significant in order to be ...
185 views

### Can i use Diebold Mariano test for comparison of 2 models across multiple time series?

I have 2 models (for simplicity, let's call them AR(1) and MA(1)) each making 1 day ahead forecasts of time series. If I had only 1 time series I would just use ...
310 views

### Diebold-Mariano for in-sample model comparisons?

Suppose I have two in-sample forecasts from two different non-nested models. I want to check which one produces the best forecasts. A common way is Diebold-Mariano, GiacominiWhite, ENC-T test. However,...
219 views

### Comparing Forecast Errors

I want to compare my VAR-forecast to an ARMA-benchmark. The VAR forecast has a smaller MPSE (mean squared prediction error) and I want to check for significance. For this purpose I applied the Diebold-...
1 vote
156 views

### Diebold-Mariano with multiple predictions over time

I've been trying to use a DM test on my predictive model. I have two different models. Each model is calibrated by using a MSE loss function to estimate the price of 374 different assets each day. I ...
2k views

### Diebold-Mariano in the context of volatility forecasting: What is the ultimate aim of this test?

Perhaps I'm missing a simple conceptual point here. But do the error statistics (RMSE, MAE) not tell which is the best forecast by presenting the lowest figures between the forecast and the actual ...
711 views

### Tests of Forecast Accuracy for Nested Models

Can anyone explain why "classic" tests of forecast accuracy, (i.e. Diebold-Mariano test, Meese-Rogoff test and Morgan-Granger-Newbold test) are not suited for nested models? I could not find a good ...
1 vote
2k views

### Compute the p-value of Diebold-Mariano Test

I am using Diebold-Mariano Test for testing the equal predictive accuracy of two models. I use the code written by Semin Ibisevic (2011) in MATLAB to compute it ...
1 vote
330 views

### Diebold-Mariano test in Stata, autocovariance denominator doubt

I'm trying to reproduce the Diebold&Mariano test available in Stata13 and I think there is an error in the suggested implementation. At the bottom of the file you have: ...
1k views

1 vote
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### Diebold-Mariano test in case of nested models (Clark & McCracken, 2001)

I have become aware of Clark & McCracken (2001) showing that the asymptotics of the Diebold-Mariano test will potentially collapse when comparing forecast accuracy of nested models (such as GARCH /...
686 views

### Diebold-Mariano Test in R - how to rationalize p-value?

Consider 3 models (model1, model2, model3) with the following set of prediction errors: ...
1k views

### Diebold-Mariano test: robust standard errors for 1-day ahead forecasts?

Diebold & Mariano suggest using Newey-West standard errors to correct for autocorrelation and heteroscedasticity in the error terms when comparing forecast accuracy. However, if I understand ...
1 vote
5k views

### Diebold Mariano test (in R)

As I asked in my answer to this question: does anyone know if the DM test (in R in this case) is supposed to be made with h=h-1? If not, am I supposed to make several prediction sets (with h ...
551 views

### Diebold - Mariano test for volatility forecasts problem

I am using packages {rugarch} for forecasting and {forecast} for Diebold - Mariano test. As a first step, I am specifying the first AR-GARCH model for financial time series (AAPL Nasdaq) using ...
419 views

### Difference between comparing forecasts and models

I started out looking for a way to test the difference between MSPE between two models (Question here), when (thanks to @Richard Hardy) I ended up reading a paper of Diebold regarding the Diebold-...
1k views

### ANOVA / t-test to compare the errors of different models

I have two forecasting models, moving average and single exponential smoothing. The values of Mean Absolute Percentage Error (MAPE) is 5.2%, 5.8%. Since the difference of MAPE between the models are ...
1 vote
970 views

### On a problem with the implementation of the test of Diebold and Mariano for equal predictive accuracy

To recall how the test of Diebold and Mariano is set up I utilize the parsimonious words of Diebold himself: Now, I have been trying to perform this test on the respective vector of errors of two ...
268 views

### Using Diebold-Mariano test to compare predictive errors in non-time-series?

I understand that the DM test is established for time series data, but could I still apply the test for non-time-series data? Could I simply replace the autocorvaiance part of the test statistics with ...