BTS | 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

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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

Excel | CSV

	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.