GNEWBOLD Procedure

@GNEWBOLD does the Granger-Newbold forecast comparison tests. @DMARIANO is a similar procedure for doing the Diebold-Mariano test.

@GNewbold( options ) actual f1 f2 start end

Parameters

actual	series of actual data
f1	first set of forecasts
f2	second set of forecasts
start, end	range to analyze (common range of f1, f2 and actual by default)

Options

TITLE=title for report ["Granger-Newbold Forecast Comparison Test"]

[PRINT]/NOPRINT

Variables Defined

%CDSTAT

Test statistic for f1=f2 vs f2 better than f1. Flipping the sign gives the test statistic for f2=f1 vs f1 better than f2.

Sample Output

The P values will (by construction) always add up to one. A small P value indicates that the forecast on the line will be rejected in favor of the other.

Granger-Newbold Forecast Comparison Test

Forecasts of SPREAD over 1995:04 to 2008:01

Forecast Test Stat P(GN>x)

FORECAST_AR7 0.8260 0.20642

FORECAST_AR2MA17 -0.8260 0.79358