Diebold-Mariano Test Statistic

Version 1.2.0.0 (1.48 KB) by Semin Ibisevic
Retrieves the Diebold-Mariano (1995) test statistic, taking into account autocorrelation.
4.2
(6)
3.3K Downloads
Updated 19 Feb 2017

View License

Retrieves the Diebold-Mariano test statistic (1995) for the equality of forecast accuracy of two forecasts under general assumptions.
The function also corrects for the autocorrelation that multi-period forecast errors usually exhibit. Note that an efficient h-period forecast will have forecast errors following MA(h-1) processes. Diebold-Mariano use a Newey-West type estimator for sample variance of the loss differential to account for this concern.
References:
K. Bouman. Quantitative methods in international finance and macroeconomics. Econometric Institute, 2011. Lecture FEM21004-11.

Diebold, F.X. and R.S. Mariano (1995), "Comparing predictive accuracy", Journal of Business & Economic Statistics, 13, 253-263.

Cite As

Semin Ibisevic (2026). Diebold-Mariano Test Statistic (https://se.mathworks.com/matlabcentral/fileexchange/33979-diebold-mariano-test-statistic), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Environmental Science in Help Center and MATLAB Answers
Tags Add Tags
Acknowledgements

Inspired: dmtest_modified(e1, e2, h)

Version Published Release Notes
1.2.0.0

Implemented the change proposed by Mark to prevent the occurrence of a negative variance estimator when taking longer horizons.
1.1.0.0

updated the description
1.0.0.0