equal_predictive_test

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Axis equal_predictive_test on sub-layer L6_A_equal_predictive (layer l6).

Sub-layer

L6_A_equal_predictive

Axis metadata

  • Default: 'dm_diebold_mariano'

  • Sweepable: False

  • Status: operational

Operational status summary

  • Operational: 5 option(s)

  • Future: 0 option(s)

Options

dm_diebold_mariano – operational

Diebold-Mariano (1995) equal-predictive-ability test with Newey-West HAC SE.

Pairwise test of equal expected loss between two forecasts. Implements DM with HLN small-sample correction (Harvey-Leybourne-Newbold 1997) and a configurable HAC kernel (newey_west default, andrews / parzen available). Two-sided alternative tests equality of MSE / MAE losses.

When to use

Pairwise comparison of two non-nested forecasts.

When NOT to use

Nested-model comparisons – use Clark-West (L6.B) instead.

References

  • macroforecast design Part 3, L6: ‘tests must report (statistic, p-value, kernel, lag) and respect HAC dependence-correction.’

  • Diebold & Mariano (1995) ‘Comparing Predictive Accuracy’, JBES 13(3): 253-263.

  • Harvey, Leybourne & Newbold (1997) ‘Testing the equality of prediction mean squared errors’, IJF 13(2): 281-291.

Related options: gw_giacomini_white, dmp_multi_horizon, multi

Last reviewed 2026-05-05 by macroforecast author.

gw_giacomini_white – operational

Giacomini-White (2006) conditional equal-predictive-ability test.

Generalises DM to test conditional predictive ability given a vector of predictors. Robust to non-stationary performance differentials and works with rolling / expanding-window forecasts.

When to use

Conditional / regime-dependent forecast comparisons.

References

  • macroforecast design Part 3, L6: ‘tests must report (statistic, p-value, kernel, lag) and respect HAC dependence-correction.’

  • Giacomini & White (2006) ‘Tests of Conditional Predictive Ability’, Econometrica 74(6): 1545-1578.

Related options: dm_diebold_mariano, multi

Last reviewed 2026-05-05 by macroforecast author.

dmp_multi_horizon – operational

Diebold-Mariano-Pesaran joint multi-horizon test.

HAC-adjusted stacked DM test that evaluates equality of predictive ability across all forecast horizons simultaneously. v0.3 implementation following Pesaran-Timmermann.

When to use

Joint significance across multiple horizons (avoids per-horizon p-value adjustment).

References

  • macroforecast design Part 3, L6: ‘tests must report (statistic, p-value, kernel, lag) and respect HAC dependence-correction.’

  • Pesaran & Timmermann (2007) ‘Selection of estimation window in the presence of breaks’, JoE 137(1): 134-161.

Related options: dm_diebold_mariano

Last reviewed 2026-05-05 by macroforecast author.

harvey_newbold_encompassing – operational

Harvey-Leybourne-Newbold (1998) forecast-encompassing test.

Tests the null that forecast f_1 encompasses f_2 – i.e. the optimal linear combination of the two forecasts puts zero weight on f_2’s error. Constructs d_t = e_a (e_a - e_b) from the per-period forecast errors and tests its mean against zero with a Newey-West HAC long-run variance and an HLN small-sample correction at horizon h>1. Asymmetric by construction (f_1 encompasses f_2 ≠ f_2 encompasses f_1).

When to use

Deciding whether one forecast contains all the information of another.

When NOT to use

Symmetric equal-MSE comparison – use dm_diebold_mariano instead.

References

  • macroforecast design Part 3, L6: ‘tests must report (statistic, p-value, kernel, lag) and respect HAC dependence-correction.’

  • Harvey, Leybourne & Newbold (1998) ‘Tests for Forecast Encompassing’, JBES 16(2): 254-259.

Related options: dm_diebold_mariano, gw_giacomini_white, multi

Last reviewed 2026-05-05 by macroforecast author.

multi – operational

Run DM + GW + DMP and stack the results.

Multi-test convenience option; emits a single output table with one row per test. Useful as a robustness check.

When to use

Comprehensive equal-predictive-ability audits.

References

  • macroforecast design Part 3, L6: ‘tests must report (statistic, p-value, kernel, lag) and respect HAC dependence-correction.’

Related options: dm_diebold_mariano, gw_giacomini_white, dmp_multi_horizon, harvey_newbold_encompassing

Last reviewed 2026-05-05 by macroforecast author.