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 <kdrachal@wne.uw.edu.pl>
LicenseGPL-3
Version1.1.3
URL https://CRAN.R-project.org/package=multDM
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("multDM")

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multDM documentation built on July 1, 2020, 5:38 p.m.