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

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Author Info

  • Christopher F Baum

    ()
    (Boston College)

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.

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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.hlp
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.

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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
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

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

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