Diebold-Mariano Test Statistic (Scripts) Publisher's description
from Semin Ibisevic
Retrieves the Diebold-Mariano test statistic (1995)
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.
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.
System Requirements:MATLAB 7.10 (2010a)
Program Release Status: New Release
Program Install Support: Install and Uninstall