I'm using Eviews 9.5 SV to perform the Diabold Mariano (DM) test. I have read the instructions, however, I cannot get the test to run properly therefore my problem is more operating the software than understanding the test.
*** Excel file and DM results attached ***
The following is the steps I'm taking;
1) Importing data from Excel = File - New - Workfile - unstructured / undated - 1279 observations.
2) Open the workfile = File - Open - Eviews Workfile.
This produces the screen featuring; c, forecast_1, forecast_2, resid.
3)Highlight 'forecast_1' then open the spreadsheet.
4)Highlight 'forecast_2' then open the spreadsheet.
At this point both forecasts are on different windows / spreadsheets. If I try to open them as a group then then 'forecast evaluation' option vanishes from the list.
5) Using either the forecast 1 or 2 windows, View - Forecast Evaluation, 'forecast data options' = forecast_1 forecast_2, select 'All', evaluation sample = 1279, training = 1 500.
6) Clicking 'Ok' then generates the DM test results.
However, I'm unconvinced by the results that state both forecasts have the same accuracy (impossible) and the statistics for forecast 1 are all zero values (0.0000).
For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.
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