DMtest  DieboldMariano Forecast Evaluation Test
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 Posts: 7
 Joined: Fri Dec 20, 2013 3:48 pm
DMtest  DieboldMariano Forecast Evaluation Test
This thread is about the addin DMtest. This addin carries out Diebold and Mariano's (1995) test for the equality of forecast accuracy of two forecasts. The addin requests the user to input 2 equation objects, the forecast sample, and to select a loss function (squared or absolute). The output is a spool that includes a table of results which displays the DieboldMariano test statistic and a pvalue, and graphs of the two forecasts.
Please let me know if there are any questions.
 Angela Vossmeyer
Please let me know if there are any questions.
 Angela Vossmeyer
Re: DMtest  DieboldMariano Forecast Evaluation Test
thanks alot for this Addin , how to explain the results?.
best regards.
best regards.
Re: DMtest  DieboldMariano Forecast Evaluation Test
Please provide option for modified dmtest

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12576
 Joined: Tue Sep 16, 2008 5:38 pm
Re: DMtest  DieboldMariano Forecast Evaluation Test
What is "modified dmtest"?
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Re: DMtest  DieboldMariano Forecast Evaluation Test
Hi, I'm transforming my dependent variable, let say "x", by taking the first difference, so it is equal to d(x,1). When I run the addin, an error message appears: "Syntax error in "IF @OBSSMPL <> D(X,1).@OBS THEN".
Is there a way to overcome that error or It is not possible to work with dependente variables using functions like d(x,1).
Kind regards,
Is there a way to overcome that error or It is not possible to work with dependente variables using functions like d(x,1).
Kind regards,

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12576
 Joined: Tue Sep 16, 2008 5:38 pm
Re: DMtest  DieboldMariano Forecast Evaluation Test
Should be able to fix that  stay tuned for an update.
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 Posts: 7
 Joined: Fri Dec 20, 2013 3:48 pm
Re: DMtest  DieboldMariano Forecast Evaluation Test
Hi Annibal,
Thanks for bringing this to attention. The file has been updated and uploaded so this shouldn't be an issue anymore.
Let me know if there's anything else,
Angela
Thanks for bringing this to attention. The file has been updated and uploaded so this shouldn't be an issue anymore.
Let me know if there's anything else,
Angela

 Posts: 7
 Joined: Fri Dec 20, 2013 3:48 pm
Re: DMtest  DieboldMariano Forecast Evaluation Test
Hi ecofin, if the pvalue is above your desired significance level, the results indicate that the researcher cannot reject the hypothesis of equal expected forecast error, or forecast accuracy. Hope this helps!  Angela
Re: DMtest  DieboldMariano Forecast Evaluation Test
Please tell how to run the addin as program line command
Re: DMtest  DieboldMariano Forecast Evaluation Test
hi, thanks for your reply
is that I understood H0: equal expected forecast error, alternative H1: not equal expected error.
I have simple suggestion to Add line vertical and horizontal in graph to show the point of forecast101 intercept forecat201, and estimate this point in out put.
Best regards.
is that I understood H0: equal expected forecast error, alternative H1: not equal expected error.
I have simple suggestion to Add line vertical and horizontal in graph to show the point of forecast101 intercept forecat201, and estimate this point in out put.
Best regards.
 Attachments

 intercept_calc.png (7.35 KiB) Viewed 23319 times

 intercept forecast point.png (32.08 KiB) Viewed 23319 times

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12576
 Joined: Tue Sep 16, 2008 5:38 pm
Re: DMtest  DieboldMariano Forecast Evaluation Test
Your case is somewhat specific. How do you know the two forecasts are going to have an intercept? How do you know that they are going to have just one? They could cross 15,000 times!
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Re: DMtest  DieboldMariano Forecast Evaluation Test
hi
good question, I don't know but I have estime two models x c ar(1) the second x c ar(1) ar(2) for boxjenkins aire line passenger (just select 2 models for an example), I know They could cross 15,000 times. it is my mistake to understand that there are some models that can intercept in one point.
Best regards. ecofin
good question, I don't know but I have estime two models x c ar(1) the second x c ar(1) ar(2) for boxjenkins aire line passenger (just select 2 models for an example), I know They could cross 15,000 times. it is my mistake to understand that there are some models that can intercept in one point.
Best regards. ecofin
Re: DMtest  DieboldMariano Forecast Evaluation Test
hi
thanks for this Addin ,is this Addin the Diebold and Mariano’s asymptotic test?, and can you write in the future an Addin with four COMPARING FORECAST ERRORS OF DIFFERENT MODELS like:
1Diebold and Mariano’s asymptotic test;
2Diebold and Mariano’s sign test;
3Diebold and Mariano’s Wilcoxon signrank test;
4Serially correlated loss differentials.
the guide reference in book Chapter 2 A Practical Guide to Forecasting Financial Market Volatility, SerHuang Poon, John Wiley, pp 2428.
Kind regards. metrix
thanks for this Addin ,is this Addin the Diebold and Mariano’s asymptotic test?, and can you write in the future an Addin with four COMPARING FORECAST ERRORS OF DIFFERENT MODELS like:
1Diebold and Mariano’s asymptotic test;
2Diebold and Mariano’s sign test;
3Diebold and Mariano’s Wilcoxon signrank test;
4Serially correlated loss differentials.
the guide reference in book Chapter 2 A Practical Guide to Forecasting Financial Market Volatility, SerHuang Poon, John Wiley, pp 2428.
Kind regards. metrix

 Posts: 7
 Joined: Fri Dec 20, 2013 3:48 pm
Re: DMtest  DieboldMariano Forecast Evaluation Test
Hi Metrix,
Yes, this addin is for the asymptotic test. I will look into these other suggestions.
Thanks,
Angela
Yes, this addin is for the asymptotic test. I will look into these other suggestions.
Thanks,
Angela
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