Diebold-Mariano Test

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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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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