Diebold-Mariano Test Statistic

Versión 1.2.0.0 (1,48 KB) por Semin Ibisevic
Retrieves the Diebold-Mariano (1995) test statistic, taking into account autocorrelation.
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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.

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Semin Ibisevic (2024). Diebold-Mariano Test Statistic (https://www.mathworks.com/matlabcentral/fileexchange/33979-diebold-mariano-test-statistic), MATLAB Central File Exchange. Recuperado .

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Inspiración para: dmtest_modified(e1, e2, h)

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Versión Publicado Notas de la versión
1.2.0.0

Implemented the change proposed by Mark to prevent the occurrence of a negative variance estimator when taking longer horizons.
1.1.0.0

updated the description
1.0.0.0