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multDM (version 1.0)

Multivariate Version of the Diebold-Mariano Test

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) .

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Version

Install

install.packages('multDM')

Monthly Downloads

860

Version

1.0

License

GPL-3

Maintainer

Krzysztof Drachal

Last Published

May 18th, 2018

Functions in multDM (1.0)

oilforecasts

Sample Data from Crude Oil Price Forecasting.

print.MDM

Prints MDM Object.

DM.test

Computes Diebold-Mariano Test for the Equal Predictive Accuracy.

TB_MA

Checks for a Lag in VMA Process with Tiao-Box Procedure.

MDM.selection

Selects Models with Outstanding Predictive Ability basing on Multivariate Diebold-Mariano Test.

MDM.test

Computes Multivariate Diebold-Mariano Test for the Equal Predictive Accuracy of Two or More Non-nested Forecasting Models.

loss

Computes Loss Function.

MDMforecasts

Sample Data.

d_t

Computes Loss Differential.