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Test Diebolda-Mariana na rovnakú prediktívnu presnosť×Test Giacomini-Whiteovej podmienenej prediktívnej schopnosti×
OdborEkonometriaEkonometria
RodinaHypothesis testHypothesis test
Rok vzniku19952006
TvorcaFrancis Diebold & Roberto MarianoRaffaella Giacomini & Halbert White
TypNon-parametric forecast comparison testNon-nested forecast comparison test
Pôvodný zdrojDiebold, F. X., & Mariano, R. S. (1995). Comparing predictive accuracy. Journal of Business & Economic Statistics, 13(3), 253–263. DOI ↗Giacomini, R., & White, H. (2006). Tests of conditional predictive ability. Econometrica, 74(6), 1545–1578. DOI ↗
Ďalšie názvyDM Test, Test of Equal Forecast Accuracy, Diebold-Mariano Forecast Comparison Test, Tahmin Doğruluğu Eşitliği TestiGW Test, Conditional Predictive Ability Test, Giacomini-White CPA Test, Koşullu Tahmin Yeteneği Testi
Príbuzné33
ZhrnutieThe 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.The 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.
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ScholarGatePorovnať metódy: Diebold-Mariano Test · Giacomini-White Test. Získané 2026-06-19 z https://scholargate.app/sk/compare