手法を比較
選択した手法を並べて確認できます。異なる行はハイライト表示されます。
| Diebold-Mariano予測精度等価性検定× | ペサラン・ティンマーマンの方向性予測精度検定× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Hypothesis test | Hypothesis test |
| 提唱年≠ | 1995 | 1992 |
| 提唱者≠ | Francis Diebold & Roberto Mariano | M. Hashem Pesaran & Allan Timmermann |
| 種類≠ | Non-parametric forecast comparison test | Nonparametric one-sided test |
| 原典≠ | Diebold, F. X., & Mariano, R. S. (1995). Comparing predictive accuracy. Journal of Business & Economic Statistics, 13(3), 253–263. DOI ↗ | Pesaran, M. H., & Timmermann, A. (1992). A simple nonparametric test of predictive performance. Journal of Business & Economic Statistics, 10(4), 461–465. DOI ↗ |
| 別名 | DM Test, Test of Equal Forecast Accuracy, Diebold-Mariano Forecast Comparison Test, Tahmin Doğruluğu Eşitliği Testi | PT Test, Directional Accuracy Test, Nonparametric Predictive Performance Test, Pesaran-Timmermann Yön Testi |
| 関連 | 3 | 3 |
| 概要≠ | 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. | Introduced by Pesaran and Timmermann (1992), the PT test is a nonparametric procedure that evaluates whether a forecasting model correctly predicts the direction (sign) of a target variable more often than would be expected by chance. It is widely used in financial econometrics and macroeconomic forecasting to assess the practical utility of a model beyond simple error metrics, particularly when the economic cost of getting the direction wrong is high. |
| ScholarGateデータセット ↗ |
|
|