dm_cw: Diebold-Mariano Test and Clark & West Test

In pretest: A Novel Approach to Predictive Accuracy Testing in Nested Environments

Diebold-Mariano Test and Clark & West Test

Description

It calculates the original DM statistics and the CW adjusted version of DM statistics, including the versions based on a Newey-West type estimator of the long run variance.

Usage

dm_cw(Ehat1, Ehat2)

Arguments

Ehat1	Residual series from Model 1 (the smaller model). One dimension and numeric.
Ehat2	Residual series from Model 2 (the larger/nested model). One dimension and numeric.

Value

A list of statistics and corresponding P values will be produced.

References

Clark, T. E., & West, K. D. (2007). Approximately normal tests for equal predictive accuracy in nested models. Journal of econometrics, 138(1), 291-311.

Diebold, F. X., & Mariano, R. S. (1995). Com paring predictive accu racy. Journal of Business and Economic Statistics, 13(3), 253-263.

Examples

e1<- rnorm(15);
e2<- rnorm(15);
temp1 <- dm_cw(e1,e2)

pretest documentation built on Oct. 19, 2023, 9:08 a.m.