Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
We analyse the properties of the Diebold and Mariano (1995) test in the presence of autocorrelation in the loss differential. We show that the power of the Diebold and Mariano (1995) test decreases as the dependence increases, making it more difficult to obtain statistically significant evidence of superior predictive ability against less accurate benchmarks. We also find that, after a certain threshold, the test has no power, and the correct null hypothesis is spuriously rejected. These results caution us to seriously consider the loss differential’s dependence properties before applying the Diebold and Mariano (1995) test.