Comparing Predictive Accuracy
提出并评估了检验两个竞争预测准确性差异的显式检验方法，允许使用多种损失函数，且预测误差可非高斯、非零均值、序列相关和同期相关，适用于经济学和金融领域的预测评估。
AbstractWe propose and evaluate explicit tests of the null hypothesis of no difference in the accuracy of two competing forecasts. In contrast to previously developed tests, a wide variety of accuracy measures can be used (in particular, the loss of function need not be quadratic and need not even be symmetric), and forecast errors can be non-Gaussian, nonzero mean, serially correlated, and contemporaneously correlated. Asymptotic and exact finite-sample tests are proposed, evaluated, and illustrated.KEY WORDS: Economic loss functionExchange ratesForecast evaluationForecastingNonparametric testsSign test