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

Statistical Software Components from Boston College Department of Economics

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 or absolute 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.

Language: Stata
Requires: Stata version 9.2
Keywords: forecast accuracy; predictions; MSE; MAE; Newey-West (search for similar items in EconPapers)
Date: Written 2003-06-09
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.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/d/dmariano.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/d/dmariano.hlp help file (text/plain)

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