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

Author

Listed:
  • Christopher F Baum

    (Boston College)

Programming Language

Stata

Abstract

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.

Suggested Citation

  • Christopher F Baum, 2003. "DMARIANO: Stata module to calculate Diebold-Mariano comparison of forecast accuracy," Statistical Software Components S433001, Boston College Department of Economics, revised 26 Nov 2021.
    • Handle: RePEc:boc:bocode:s433001
    Note: This module may be installed from within Stata by typing "ssc install dmariano". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/d/dmariano.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/d/dmariano.sthlp
    File Function: help file
    Download Restriction: no
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