IDEAS home Printed from

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


  • 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.

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 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.

    Download full text from publisher

    File URL:
    File Function: program code
    Download Restriction: no

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

    More about this item


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


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. 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). General contact details of provider: .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.