TITLE
'DMARIANO': module to calculate Diebold-Mariano comparison of
forecast accuracy
DESCRIPTION/AUTHOR(S)
dmariano calculates a measure of predictive accuracy proposed by
Diebold and Mariano (1995). Given an actual series and two
competing predictions, one may apply a loss criterion (such as
squared error or absolute error) and then calculate a number of
measures of predictive accuracy that allow the null hypothesis of
equal accuracy to be tested. The S(1) measure, calculated in this
routine, tests that the mean difference between the loss criteria
for the two predictions is zero, using a long-run estimate of the
variance of the difference series.
Distribution-Date: 20030609
Author: Christopher F Baum, Boston College
Support: email [email protected]
