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In such a context, we propose two new Diebold\u2013Mariano\u2010type tests for equal accuracy that employ nonparametric estimation of the loss differential variance function. We demonstrate that these tests have the potential to achieve power improvements relative to the original Diebold\u2013Mariano test in the presence of heteroskedasticity, for a quite general class of loss differential series. The size validity and potential power superiority of our new tests are studied theoretically and in Monte Carlo simulations. We apply our new tests to competing forecasts of changes in the dollar\/sterling exchange rate and find the new tests provide greater evidence of differences in forecast accuracy than the original Diebold\u2013Mariano test, illustrating the value of these new procedures for practitioners.<\/jats:p>","DOI":"10.1002\/jae.3050","type":"journal-article","created":{"date-parts":[[2024,4,22]],"date-time":"2024-04-22T10:32:10Z","timestamp":1713781930000},"page":"850-869","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":5,"title":["Tests for equal forecast accuracy under heteroskedasticity"],"prefix":"10.1002","volume":"39","author":[{"given":"David I.","family":"Harvey","sequence":"first","affiliation":[{"name":"School of Economics University of Nottingham  Nottingham UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Stephen J.","family":"Leybourne","sequence":"additional","affiliation":[{"name":"School of Economics University of Nottingham  Nottingham UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Yang","family":"Zu","sequence":"additional","affiliation":[{"name":"Department of Economics University of Macau  Macau China"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2024,4,22]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500106000000332"},{"key":"e_1_2_10_3_1","first-page":"75","article-title":"Stochastic autoregressive volatility: A framework for volatility modeling","volume":"4","author":"Andersen T. 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