Diebold-Mariano Test

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Andreas_Kerma
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Joined: Wed Jul 26, 2017 4:04 pm

Diebold-Mariano Test

Postby Andreas_Kerma » Wed Jul 26, 2017 6:29 pm

Hello Guys,
I am trying to evaluate the forecasting accuracy of 5 GARCH models(GARCH,EGARCH,GJR,APARCH,CGARCH) in 5 different indexes.I am trying to use the DM test in EViews 8, however the add in requires to input 2 equations, whereas i want to use the forecasting errors which are series. Can anyone please provide any hint on how to run the DM test? Thanks in advance for any response.

EViews Gareth
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Re: Diebold-Mariano Test

Postby EViews Gareth » Wed Jul 26, 2017 6:55 pm

If you want it built in, you'll need to upgrade to EViews 9 or 10.

Otherwise you'll have to calculate it manually.
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