DMARIANO: RATS procedure to compute Diebold-Mariano Forecast Comparison Test
AbstractComputes Diebold-Mariano Forecast Comparison test. Diebold and Mariano(1995), "Comparing Predictive Accuracy," JBES, v.13, no.3, 253-63.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00055.
Programming language: RATS
Requires: RATS 7.30
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- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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