Advanced Search
MyIDEAS: Login

DMARIANO: Stata module to calculate Diebold-Mariano comparison of forecast accuracy


Author Info

  • Christopher F Baum

    (Boston College)


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, mean absolute error, or mean absolute percentage 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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL:
File Function: program code
Download Restriction: no

File URL:
File Function: help file
Download Restriction: no

Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S433001.

as in new window
Programming language: Stata
Requires: Stata version 9.2
Date of creation: 09 Jun 2003
Date of revision: 26 Apr 2011
Handle: RePEc:boc:bocode:s433001

Note: This module may be installed from within Stata by typing "ssc install dmariano". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Web page:
More information through EDIRC

Order Information:

Related research

Keywords: forecast accuracy; predictions; MSE; MAE; Newey-West;


This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s433001. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.