The RATS Software Forum

Thank you Tom and Happy Easter. Apologies for annoying you again but I wanted to run a modified DM test using your code with LWINDOW=NEWEY and LAGS=15 as we discussed previously. Does the MDM test have to be conducted with a truncated kernel for calculating the HAC standard errors (this is mentioned...

Thank you Tom

LWINDOW=NEWEY with LAGS=15 it is. Do you have any other advice?

I've attached some sample data for reference if you have a few minutes to take a look.

Thank you

Thank you Tom I will use the newey-west window (LWINDOW=NEWEY) in combination with a higher value of lags. I am thinking of using 11 lags (LAGS=10) given that I am using annual forecasts that are updated monthly (hence, there is an 11 month overlap between each observation). Do you think this is app...

Thank you Tom

So in that case (high serial correlation due to my overlapping forecast windows), do you recommend using a newey LWINDOW? Your program allows for selecting between newey, bartlett, truncated, parzen and quadratic LWINDOWs - is newey the best choice for me?

Thank you again

Hi Tom If I am testing the forecast accuracy of one-step ahead estimates from two methods (f1 and f2) using the @dmariano code, should my lags be equal to zero? In a two-step ahead scenario, should lags=1...etc? Also, I am using annual forecasts that update each month - i.e. there is a 11 month over...

Thank you Tom I see you adjusted the code recently to include the modified Diebold Mariano test. What do I need to change in order to conduct this test? Do I need to go into the @dmariano code and change something specific or do I just change the code provided below by adding the option to conduct t...

That is...after applying a loss criterion like MSE or MAE, the procedure estimates the timeseries predictive accuracy (refered to as D in the series window) that allows a test of the null hypothesis of equal accuracy. The test statistic I described in my previous post tests whether the mean differen...

Thank you Tom. I obtained the following output (the data file is attached just in case) Forecast MSE Test Stat P(DM>x) F1 0.04037088 5.1037 0.00000 F2 0.03033151 -5.1037 1.00000 Hence, the difference is 0.01004. Is there a way to extract the test statistics relating to H0: Forecast accuracy is equal...