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multDM: Multivariate Version of the Diebold-Mariano Test
Allows to perform the multivariate version of the Diebold-Mariano test for equal predictive ability of multiple forecast comparison. Main reference: Mariano, R.S., Preve, D. (2012) <doi:10.1016/j.jeconom.2012.01.014>.
Getting started
Browse package contents
Package details |
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| Author | Krzysztof Drachal [aut, cre] (Faculty of Economic Sciences, University of Warsaw, Poland) |
| Maintainer | Krzysztof Drachal <kdrachal@wne.uw.edu.pl> |
| License | GPL-3 |
| Version | 1.1.5 |
| URL | https://CRAN.R-project.org/package=multDM |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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