dmtest_modified(e1, e2, h)
Version 1.3.0.0 (3.2 KB) by
Jaime Trujillo
The Diebold-Mariano Test (Modified as per Harvey, Leybourne, and Newbold (1997))
This function builds on the previously produced dmtest function and includes the modification suggested by Harvey, Leybourne, and Newbold (1997) to the test , calculates the p-value and addresses the issue with the assumption of zero covariance at 'unobserved' lags.
Cite As
Jaime Trujillo (2024). dmtest_modified(e1, e2, h) (https://www.mathworks.com/matlabcentral/fileexchange/58787-dmtest_modified-e1-e2-h), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Created with
R2015a
Compatible with any release
Platform Compatibility
Windows macOS LinuxCategories
- AI, Data Science, and Statistics > Statistics and Machine Learning Toolbox > Classification > Classification Ensembles >
Find more on Classification Ensembles in Help Center and MATLAB Answers
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Acknowledgements
Inspired by: Diebold-Mariano Test Statistic
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