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Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy

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Figure

Table 1: Size and power of weighted modified Diebold-Mariano test statistics of equal forecast accuracy based on squared loss
Table 2: Rejection frequencies of weighted (modified) Diebold-Mariano test statistics of equal forecast accuracy based on squared loss
Table 3: Rejection frequencies of weighted (modified) Diebold-Mariano test statistics of equal forecast accuracy based on squared loss
Table 4: Rejection frequencies of weighted (modified) Diebold-Mariano test statis- statis-tics of equal forecast accuracy based on squared loss

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