Table 2 Comparison of predictive accuracy of three models across years for each country using multivariate Diebold-Mariano (DM) test
Country | Null Hypothesis | Test Statistic Value | P-Value | Decision |
|---|---|---|---|---|
China | H0: SLC=FDM = BMS OR H0: All model hold Equal predictive accuracy | − 1796.2 | 0.000 | H0 is rejected |
Pakistan | −20.151 | 0.000 | H0 is rejected | |
India | −24.314 | 0.000 | H0 is rejected | |
Thailand | −3.9457 | 0.000 | H0 is rejected |