Table 9: Comparison of Forecast Accuracy: Results of the Diebold-Mariano (DM) and Modified Diebold-Mariano (DM*) Tests for the Square Loss Function and Several Forecast Horizons
Table 9: Comparison of Forecast Accuracy: Results of the Diebold-Mariano (DM) and Modified Diebold-Mariano (DM*) Tests for the Square Loss Function and Several Forecast Horizons
Forecasting Period: 2000-2002
| SMT | 10MT | SBT | 10BT | TC | JTC | |
|---|---|---|---|---|---|---|
| h = 1 | ||||||
| DM | -1.34 | -0.57 | -1.04 | -2.32 | 0.23 | -0.69 |
| DM* | -1.32 | -0.56 | -1.02 | -2.30 | 0.22 | -0.68 |
| h = 6 | ||||||
| DM | -2.89 | 1.8 | 0.37 | -2.08 | 0.60 | -3.52 |
| DM* | -2.38 | 1.48 | 0.31 | -1.71 | 0.49 | -2.90 |
| h = 12 | ||||||
| DM | -1.73 | 2.78 | 1.51 | -2.96 | -0.03 | -3.03 |
| DM* | -0.93 | 1.50 | 0.62 | -1.56 | -0.02 | -1.64 |
Key: Bold indicates statistical difference between the two forecasting methods for alpha = 0.05. Positive (negative) values indicates that the DHR performs better (worse) than the causal model.