DMtest  DieboldMariano Forecast Evaluation Test
Moderators: EViews Gareth, EViews Moderator, EViews Esther
Re: DMtest  DieboldMariano Forecast Evaluation Test
The DM test is supposed to be a modelfree test for comparing 2 forecast paths. It would be better if the menu allows the option to select a forecast path instead of an equation. That way, a modelbased forecast can be compared to a forecast coming from surveys.
Re: DMtest  DieboldMariano Forecast Evaluation Test
Hello, I have a question about the equation of this add in. What kind of equation should it be? I think that it should not be a time series regression equation because DM test calculates whether the difference is significant between two series which are the series of deviation between the realized and estimated values. So the equation must be like
for equation 1
diff1=est_1realized
and for equation 2
diff2=est_2realized
equation 1 and equation 2 asked in the window opened must be something like the equations defined above. However, when I created a new equation object in eviews it only creates regression objects. Isn't it? I am not a frequent user of eviews but it this way as I know.
My question is:
I have two series of estimated values and one serie of realized values. I need to know whether two estimated series produced significantly different values. In other saying, I need to know whether two series of estimated values are significantly different? In order to calculate this by DMtest addin,
What kind of equations should I create and what should I give as a forecast sample?
Thank you for any help,
for equation 1
diff1=est_1realized
and for equation 2
diff2=est_2realized
equation 1 and equation 2 asked in the window opened must be something like the equations defined above. However, when I created a new equation object in eviews it only creates regression objects. Isn't it? I am not a frequent user of eviews but it this way as I know.
My question is:
I have two series of estimated values and one serie of realized values. I need to know whether two estimated series produced significantly different values. In other saying, I need to know whether two series of estimated values are significantly different? In order to calculate this by DMtest addin,
What kind of equations should I create and what should I give as a forecast sample?
Thank you for any help,

 Posts: 202
 Joined: Tue Jul 17, 2012 9:47 am
Re: DMtest  DieboldMariano Forecast Evaluation Test
Out of interest, was there a conclusion as to why this addin was programmed to take in equation objects and not just forecasted series and dependent variables? seems a slightly strange choice to me...
edit: it also seems strange that this version of the addin makes no HAC correction, when doing so is fairly easy surely  to estimate loss differentials on a constant with the NW option.
edit: it also seems strange that this version of the addin makes no HAC correction, when doing so is fairly easy surely  to estimate loss differentials on a constant with the NW option.
Re: DMtest  DieboldMariano Forecast Evaluation Test
HELP ！！！Emergency !!!
Hi guys, I am writing my thesis now, and I am using EViews 9 DMtest addin to do the test, I have a questions here. After I run the DMtest addin, I am asked to write two names of equations. What on earth should I write ?? Let's say, I have the series of original data, the dynamic forecast data using dynamic method and static methods. Can someone tell me ??
Thank you guys in advance!!!
Hi guys, I am writing my thesis now, and I am using EViews 9 DMtest addin to do the test, I have a questions here. After I run the DMtest addin, I am asked to write two names of equations. What on earth should I write ?? Let's say, I have the series of original data, the dynamic forecast data using dynamic method and static methods. Can someone tell me ??
Thank you guys in advance!!!

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12067
 Joined: Tue Sep 16, 2008 5:38 pm
Re: DMtest  DieboldMariano Forecast Evaluation Test
I don't think the author of this addin is active any more.
I think for those of you who want to perform the test on an arbitrary series, rather than an equation object, you'll have to modify the source code to do that.
I think for those of you who want to perform the test on an arbitrary series, rather than an equation object, you'll have to modify the source code to do that.
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 Posts: 1
 Joined: Thu Sep 17, 2015 1:51 pm
Re: DMtest  DieboldMariano Forecast Evaluation Test
Hi all,
Based on what I understood from the addin, it seems it only works when I am comparing two different equations. Given this is a model free test, instead of using the equations I was wondering if it is possible to use the forecasts directly. If I have 2 series of forecasts + the "realized" data, I am wondering how to run DM test.
Could someone urgently help me. By the way, I dont know how to modify the code to do that.
Thanks for your support.
Luiz
Based on what I understood from the addin, it seems it only works when I am comparing two different equations. Given this is a model free test, instead of using the equations I was wondering if it is possible to use the forecasts directly. If I have 2 series of forecasts + the "realized" data, I am wondering how to run DM test.
Could someone urgently help me. By the way, I dont know how to modify the code to do that.
Thanks for your support.
Luiz

 Posts: 25
 Joined: Sun Feb 19, 2017 1:25 pm
Re: DMtest  DieboldMariano Forecast Evaluation Test
EViews Gareth wrote:I don't think the author of this addin is active any more.
I think for those of you who want to perform the test on an arbitrary series, rather than an equation object, you'll have to modify the source code to do that.
Hi Gareth, I have managed to download the add in and extract the script that was used to make this addin. How can I modify it effectively so at perform the test on two series rather than two equation objects. Please find the code below. Thanks.
Code: Select all
'DieboldMariano forecast evaluation test (JBES 1995);
'inputs: two equation objects, and a forecast sample.
'Output is a spool with a results table and graphs of the forecast errors
'step 1:
'forecast from each equation over the sample period.
!selection = 1
%eq1 = ""
%eq2 = ""
%smpl = ""
@uidialog("edit", %eq1, "Enter name of equation 1", "edit", %eq2, "Enter name of equation 2", "edit", %smpl, "Enter a forecast sample", "radio",!selection,"Please select a loss function:", "Squared Absolute")
'error check for object existance and type
if @isobject(%eq1) = 0 then
%error = %eq1 + " is not an equation in your workfile"
@uiprompt(%error)
stop
else
if @neqna({%eq1}.@type,"EQUATION") = 1 then
%error = %eq1 + " is not an equation in your workfile"
@uiprompt(%error)
stop
endif
endif
'error check for object existance and type
if @isobject(%eq2) = 0 then
%error = %eq2+ " is not an equation in your workfile"
@uiprompt(%error)
stop
else
if @neqna({%eq2}.@type,"EQUATION") = 1 then
%error = %eq2 + " is not an equation in your workfile"
@uiprompt(%error)
stop
endif
endif
'check to make sure the actual values of the dependent variable exist and the equations have the same dependent variable
%vars1 = {%eq1}.@varlist
%vars2 = {%eq2}.@varlist
%dep1 = @word(%vars1,1) 'get dependent variable
%dep2 = @word(%vars2,1) 'get dependent variable
'save sample
%origsmpl = @pagesmpl
'set sample
smpl {%smpl}
%NDEP = @getnextname("NDEP")
series {%NDEP} = {%dep1}
'checking for the existence of actual values inside the dependent variable over the forecast period
if @obssmpl <> {%NDEP}.@obs then
%msg = "Actual values of dependent variable must exist over the forecast period"
@uiprompt(%msg)
delete {%ndep}
smpl {%origsmpl}
stop
endif
delete {%ndep}
If %dep1 <> %dep2 then
%msg = "Equations must have the same dependent variable"
@uiprompt(%msg)
stop
endif
'Checking to make sure only simple samples are being used
if @wcount(%smpl) > 2 then
%msg = "Only simple forecast samples are supported"
@uiprompt(%msg)
stop
endif
'perform the forecasts  creating two series, forecast1 and forecast2
%forecast1 = @getnextname("forecast1")
%forecast2 = @getnextname("forecast2")
{%eq1}.forecast {%forecast1}
{%eq2}.forecast {%forecast2}
'generating forecast errors
%FE1 = @getnextname("FE1")
%FE2 = @getnextname("FE2")
series {%FE1} = {%dep1}  {%forecast1}
series {%FE2} = {%dep2}  {%forecast2}
%Ld = @getnextname("LD")
'Step 2:
'calculate Ld, find mean and varialce
if !selection = 1 then
series {%Ld} = {%FE1}^2{%FE2}^2
else
series {%Ld} = @abs({%FE1})  @abs({%FE2})
endif
!Ldiffm = @mean({%Ld})
!Ldiffv = @var({%Ld})
'Step 3:
'Calculate covariances
'calculate number of observations in forecast sample
!t = @obssmpl
!DMstat = !Ldiffm / @sqrt((1/!T)*!Ldiffv )
!pval = 2*@cnorm(@abs(!DMstat))
'd(noerr) a
'table a
'a(1,1) = !dmstat
if !selection = 1 then
%lossfunc = "Squared"
else
%lossfunc = "Absolute"
endif
'Results
'Presented in a Table
%tn = @getnextname("DMtest")
Table(9,2) {%tn}
{%tn}.setwidth(1) 18
{%tn}.setwidth(2) 10
{%tn}.setjust(a1:a9) left
!rowcounter=1
{%tn}(!rowcounter,1) = "DieboldMariano Forecast Eval. Test"
!rowcounter = !rowcounter + 1
%datestring = "Date: " + @datestr(@now,"MM/DD/YY") + " Time: " + @datestr(@now,"HH:MM")
{%tn}(!rowcounter,1) = %datestring
!rowcounter=!rowcounter+1
%samplestr = "Equation 1: " + @upper(%eq1)
{%tn}(!rowcounter,1) = %samplestr
!rowcounter=!rowcounter+1
%samplestr = "Equation 2: " + @upper(%eq2)
{%tn}(!rowcounter,1) = %samplestr
!rowcounter=!rowcounter+1
%samplestr = "Forecast Sample: " + @upper(%smpl)
{%tn}(!rowcounter,1) = %samplestr
!rowcounter=!rowcounter+1
%samplestr = "Loss function: " + %lossfunc
{%tn}(!rowcounter,1) = %samplestr
!rowcounter=!rowcounter+1
{%tn}.setlines(!rowcounter) +d
!rowcounter = !rowcounter + 1
'
{%tn}(!rowcounter,1) = "DM Test Statistic: "
{%tn}(!rowcounter,2) = !DMstat
!rowcounter = !rowcounter + 1
{%tn}(!rowcounter,1) = "Pvalue: "
{%tn}(!rowcounter,2) = !pval
!rowcounter = !rowcounter + 1
{%tn}.setlines(!rowcounter) +d
!rowcounter = !rowcounter + 1
'creating a spool with table and graphs
%sp = @getnextname("DMResults")
spool {%sp}
{%sp}.append {%tn}
group g1 {%forecast1} {%forecast2}
{%sp}.append g1.graph
{%sp}.name untitled01 DMtable
{%sp}.name untitled02 ForecastGraphs
show {%sp}
delete {%forecast1} {%forecast2} {%ld} {%tn} g1 {%fe1} {%fe2}
smpl {%origsmpl}
Last edited by Econoforecast on Mon Mar 20, 2017 4:25 pm, edited 1 time in total.

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12067
 Joined: Tue Sep 16, 2008 5:38 pm
Re: DMtest  DieboldMariano Forecast Evaluation Test
File>Open>Program in Addins Folder.
All addins are just EViews programs.
All addins are just EViews programs.
Follow us on Twitter @IHSEViews

 Posts: 25
 Joined: Sun Feb 19, 2017 1:25 pm
Re: DMtest  DieboldMariano Forecast Evaluation Test
EViews Gareth wrote:File>Open>Program in Addins Folder.
All addins are just EViews programs.
Yep, just found it, thanks, see above post please, have edited.

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12067
 Joined: Tue Sep 16, 2008 5:38 pm
Re: DMtest  DieboldMariano Forecast Evaluation Test
It doesn't make sense to run it on two series.
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 Posts: 25
 Joined: Sun Feb 19, 2017 1:25 pm
Re: DMtest  DieboldMariano Forecast Evaluation Test
EViews Gareth wrote:It doesn't make sense to run it on two series.
Ok. Before I proceed any further, what is the difference between this addin and the DM test in the following link? Scroll to bottom. I was unaware it was already inbuilt by IHS. Can you please clarify. Thanks.
http://www.eviews.com/help/helpintro.ht ... stics.html

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12067
 Joined: Tue Sep 16, 2008 5:38 pm
Re: DMtest  DieboldMariano Forecast Evaluation Test
The addin was available before the built in. There is no reason to use the addin now.
Follow us on Twitter @IHSEViews

 Posts: 25
 Joined: Sun Feb 19, 2017 1:25 pm
Re: DMtest  DieboldMariano Forecast Evaluation Test
EViews Gareth wrote:The addin was available before the built in. There is no reason to use the addin now.
I see. That clears it up. So the addin and built in function by IHS are essentially the same.
Thanks.

 Posts: 25
 Joined: Sun Feb 19, 2017 1:25 pm
Re: DMtest  DieboldMariano Forecast Evaluation Test
EViews Gareth wrote:The addin was available before the built in. There is no reason to use the addin now.
Just a quick question again, what do <>prob, >prog and <prob actually stand for in this case? How does one interpret the test?
I am aware how the test works, how to interpret the ttest, just wondering what the above are for.
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 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12067
 Joined: Tue Sep 16, 2008 5:38 pm
Re: DMtest  DieboldMariano Forecast Evaluation Test
Probabilities of the alternative hypotheses (that forecast 1 differs in accuracy from forecast 2, forecast 1 is less accurate, forecast 2 is more accurate).
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