d_t: Computes Loss Differential.

In multDM: Multivariate Version of the Diebold-Mariano Test

Computes Loss Differential.

Description

This function computes loss differential, i.e., differences between losses from k+1-th and k-th models.

Usage

d_t(e)

Arguments

e	matrix of loss functions, columns correspond to time index, and rows to different models

Value

matrix of loss differentials

References

Mariano R.S., Preve, D., 2012. Statistical tests for multiple forecast comparison. Journal of Econometrics 169, 123–130.

Examples

data(MDMforecasts)
ts <- MDMforecasts$ts
forecasts <- MDMforecasts$forecasts
l <- loss(realized=ts,evaluated=forecasts,loss.type="SE")
d <- d_t(l)

multDM documentation built on June 9, 2022, 5:06 p.m.