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

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  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.