Diebold-Mariano Test Statistic

version 1.2.0.0 (1.48 KB) by Semin Ibisevic
Retrieves the Diebold-Mariano (1995) test statistic, taking into account autocorrelation.

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Updated 19 Feb 2017

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Retrieves the Diebold-Mariano test statistic (1995) for the equality of forecast accuracy of two forecasts under general assumptions.
The function also corrects for the autocorrelation that multi-period forecast errors usually exhibit. Note that an efficient h-period forecast will have forecast errors following MA(h-1) processes. Diebold-Mariano use a Newey-West type estimator for sample variance of the loss differential to account for this concern.
References:
K. Bouman. Quantitative methods in international finance and macroeconomics. Econometric Institute, 2011. Lecture FEM21004-11.

Diebold, F.X. and R.S. Mariano (1995), "Comparing predictive accuracy", Journal of Business & Economic Statistics, 13, 253-263.

Cite As

Semin Ibisevic (2022). Diebold-Mariano Test Statistic (https://www.mathworks.com/matlabcentral/fileexchange/33979-diebold-mariano-test-statistic), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired: dmtest_modified(e1, e2, h)

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