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.

See dm_diebold_mariano function page for full documentation + parameters + standalone usage. Standalone: mf.functions.dm_test.

gw_giacomini_white – operational#

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

See gw_giacomini_white function page for full documentation + parameters + standalone usage. Standalone: mf.functions.gw_test.

dmp_multi_horizon – operational#

Diebold-Mariano-Pesaran joint multi-horizon test.

See dmp_multi_horizon function page for full documentation + parameters + standalone usage. Standalone: mf.functions.dmp_test.

harvey_newbold_encompassing – operational#

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

See harvey_newbold_encompassing function page for full documentation + parameters + standalone usage. Standalone: mf.functions.hn_test.

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.