multDM

Last update 8 March 2025

Copyright license GNU General Public License, version 3.0

Software version identifier 1.1.4, PACKAGES.rds, 1.0, 1.1.1, 1.1.2, 1.1.3, 1.1, 1.1.5

Description

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>.

Cites work

Statistical tests for multiple forecast comparison

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