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A comparison of methods for testing differences in predictive ability

This paper is devoted to the comparison of methods for testing difference in prediction ability of regression‐based predictors. Focus is on both parametric and non‐parametric methods. Comparisons are done using the bootstrap based on residuals from real data sets. The power of the methods for different alternatives is the main tool for evaluating the properties of the methods. The main conclusion from the bootstrap simulations is that the most suitable method seems to be two‐way analysis of variance of the absolute values of the prediction errors. Copyright © 2006 John Wiley & Sons, Ltd.