Dell’Aquila, Rosario Ronchetti, Elvezio 2004 We propose robust counterparts to tests of equal forecast accuracy such as those proposed by Diebold and Mariano (1995) and West (1996). We illustrate the robustness problem and evaluate the size and the power properties of the classical and robust tests under various types of deviations from model assumptions. The new robust test has a correct size and larger power across a wide spectrum of distributions including in particular heavy-tailed distributions. application/pdf https://susi.usi.ch/global/documents/318087 https://n2t.net/ark:/12658/srd1318087 https://susi.usi.ch/documents/318087/files/ronchetti_M_2004.pdf eng info:eu-repo/semantics/altIdentifier/ark/12658/srd1318087 info:eu-repo/semantics/openAccess License undefined Metron. - ESIA Books and Journals. - 2004, vol. 62, no. 2, p. 161-184 info:eu-repo/classification/udc/33 Robust tests of predictive accuracy http://purl.org/coar/resource_type/c_6501