multDM (Q105897)
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Multivariate Version of the Diebold-Mariano Test
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | multDM |
Multivariate Version of the Diebold-Mariano Test |
Statements
8 March 2025
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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>.
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