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

Package details

AuthorKrzysztof Drachal [aut, cre] (Faculty of Economic Sciences, University of Warsaw, Poland)
MaintainerKrzysztof Drachal <>
Package repositoryView on CRAN
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multDM documentation built on July 1, 2020, 5:38 p.m.