Diebold-Mariano Test Statistic 1.0

Date Added: April 26, 2013 | Visits: 805

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Retrieves the Diebold-Mariano test statistic (1995) for the equality of forecast accuracy of two forecasts under general assumptions.The function also corrects for the autocorrelation that multi-period forecast errors usually exhibit. Note that an efficient h-period forecast will have forecast errors following MA(h-1) processes. Diebold-Mariano use a Newey-West type estimator for sample variance of the loss differential to account for this concern.References:K. Bouman. Quantitative methods in international finance and macroeconomics. Econometric Institute, 2011. Lecture FEM21004-11. Diebold, F.X. and R.S. Mariano (1995), "Comparing predictive accuracy", Journal of Business & Economic Statistics, 13, 253-263.

Requirements: No special requirements

Platforms: Matlab

Keyword: Account, Bouman, Concern, Differential, Econometric, Finance, International, Macroeconomics, Methods, Quantitative

Users rating: 0/10

License: Shareware

Size: 10 KB

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