English, Article edition: DMARIANO: Stata module to calculate Diebold-Mariano comparison of forecast accuracy Christopher F Baum

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  • code
Language
  • English

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Title
  • DMARIANO: Stata module to calculate Diebold-Mariano comparison of forecast accuracy
Author
  • Christopher F Baum
Physical Description
  • code
Notes
  • 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.
  • forecast accuracy, predictions, MSE, MAE, Newey-West
  • RePEc:boc:bocode:s433001
Language
  • English
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