Diebold-Mariano and Clark-West Test Statistics for Equity Risk Premium Forecasts

Statistical test results for one-step-ahead equity risk premium forecasts. The dataset includes one-sided Diebold–Mariano and Clark–West test statistics comparing forecasts against a historical mean benchmark and pairwise comparisons between Combined and Past forecast specifications. Authored by Jeonggyu Huh and last updated on 2026-05-15.

Use Cases

• Evaluate forecast model performance based on out-of-sample R-squared differences.
• Compare Combined and Past forecast specifications using one-sided Diebold–Mariano tests.
• Benchmark forecasting methods against a historical mean forecast using Clark–West test statistics.

Strengths

• Dataset is small at 9.5 KB, facilitating quick download and inspection.
• Statistical significance is clearly denoted with standard significance levels (10%, 5%, 1%).

Limitations

• Row count is unknown, which may limit suitability assessment.
• Column-level documentation is absent; field semantics must be inferred after download.

Provenance

Source

Jeonggyu Huh via figshare

Freshness

Last updated 2026-05-15 17:56:33; freshness should be verified.