A Kolmogorov-Smirnov Based Test for Comparing the Predictive Accuracy of Two Sets of Forecasts

A Kolmogorov-Smirnov Based Test for Comparing the Predictive Accuracy of Two Sets of Forecasts

This paper introduces a complement statistical test for distinguishing between the predictive accuracy of two sets of forecasts. We propose a non-parametric test founded upon the principles of the Kolmogorov-Smirnov (KS) test, referred to as the KS Predictive Accuracy (KSPA) test. The KSPA test is a...

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Bibliographic Details
Main Authors: Hossein Hassani, Emmanuel Sirimal Silva
Format: Article
Language:English
Published: MDPI AG 2015-08-01
Series:Econometrics
Subjects:
forecast accuracy
Kolmogorov-Smirnov
stochastic dominance
non-parametric
size and power
predictive accuracy
KSPA
Diebold-Mariano
DM
Online Access:http://www.mdpi.com/2225-1146/3/3/590

Internet

http://www.mdpi.com/2225-1146/3/3/590

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