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dmtest_modified(e1, e2, h)

version 1.3.0.0 (3.2 KB) by Jaime Trujillo
The Diebold-Mariano Test (Modified as per Harvey, Leybourne, and Newbold (1997))

13 Downloads

Updated 10 Nov 2016

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This function builds on the previously produced dmtest function and includes the modification suggested by Harvey, Leybourne, and Newbold (1997) to the test , calculates the p-value and addresses the issue with the assumption of zero covariance at 'unobserved' lags.

Cite As

Jaime Trujillo (2020). dmtest_modified(e1, e2, h) (https://www.mathworks.com/matlabcentral/fileexchange/58787-dmtest_modified-e1-e2-h), MATLAB Central File Exchange. Retrieved .

Comments and Ratings (1)

Cristian Bulete

dmtest_modified(e1, e2, h) and dmtest_modified(e2, e1, h) give different results. Why is that ? Thank you.

MATLAB Release Compatibility
Created with R2015a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired by: Diebold-Mariano Test Statistic

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