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Uji Giacomini-White tentang Kemampuan Prediktif Bersyarat×Uji Diebold-Mariano untuk Akurasi Prediktif yang Sama×
BidangEkonometrikaEkonometrika
KeluargaHypothesis testHypothesis test
Tahun asal20061995
PencetusRaffaella Giacomini & Halbert WhiteFrancis Diebold & Roberto Mariano
TipeNon-nested forecast comparison testNon-parametric forecast comparison test
Sumber perintisGiacomini, R., & White, H. (2006). Tests of conditional predictive ability. Econometrica, 74(6), 1545–1578. DOI ↗Diebold, F. X., & Mariano, R. S. (1995). Comparing predictive accuracy. Journal of Business & Economic Statistics, 13(3), 253–263. DOI ↗
AliasGW Test, Conditional Predictive Ability Test, Giacomini-White CPA Test, Koşullu Tahmin Yeteneği TestiDM Test, Test of Equal Forecast Accuracy, Diebold-Mariano Forecast Comparison Test, Tahmin Doğruluğu Eşitliği Testi
Terkait33
RingkasanThe Giacomini-White (GW) test, introduced by Raffaella Giacomini and Halbert White in 2006, evaluates whether two competing forecasting methods have equal conditional predictive ability given information available at the time of forecast. Unlike unconditional tests such as the Diebold-Mariano test, it asks whether one method systematically outperforms the other in specific economic or market conditions, making it especially useful for practitioners who need state-dependent forecast comparisons.The Diebold-Mariano (DM) test, introduced by Diebold and Mariano in 1995, is a widely used non-parametric procedure for formally comparing the predictive accuracy of two competing forecasting models. It evaluates whether the difference in forecast errors between two models is statistically significant, without requiring nested models or specific distributional assumptions about the forecasts, making it broadly applicable across economics, finance, and time-series analysis.
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ScholarGateBandingkan metode: Giacomini-White Test · Diebold-Mariano Test. Diakses 2026-06-19 dari https://scholargate.app/id/compare