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Table 7 Diebold and Mariano (1995) test with respect to alternative models

From: Forecasting inflation in the euro area: countries matter!

Horizon BVAR-H BVAR-C BVAR-EA
  HICPex
One quarter \(-\) 1.53 2.06 1.63
Two quarters \(-\) 1.57 1.82 0.97
One year \(-\) 2.54 0.37 \(-\)0.33
Two years \(-\) 2.38 \(-\) 1.41 \(-\) 0.39
  HICP
One quarter \(-\) 1.45 1.94 2.09
Two quarters \(-\) 2.64 1.13 1.19
One year \(-\) 2.77 0.25 0.49
Two years \(-\) 2.41 0.12 2.45
  1. BVAR-Base is our large multi-country model; BVAR-H is the model including only inflation variables; BVAR-C refers to the forecast obtained from country-specific BVAR models; BVAR-EA is the model considering the euro area as a whole. A negative value of the t statistic indicates that the BVAR-Base is more accurate than the model on the table’s column. The forecasts are computed over the period 2006Q1-2017Q2. Numbers marked in bold indicate that the test is significant at 10% level