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The data included is indeed quarterly data, and it is the average loss differential. The purpose of the Diebold Mariano model is to compare 2 models and to determine which is best in forecasting. I have to find the accompanying t-statistic of the loss differential at those different time frames (t=1...

Basically I just need the t-statistics of quarter 1 4 and 8 individually, that is all.

It worked for the first quarter just now, but when I reach t=8, i receive the message 'insuffient number of observations'. There are 2 observations required for every regression, so for t=1 is quarter 1 and 2, for t=4 is quarter 4 and 5, and t=8 quarter 8 and 9? If so, I dont have a ninth observation.

Dear Glenn, I think that you indeed understood what i meant. However, now I receive an error that there are no observations and another error. It really must be one of the simplest things to do in Eviews. I have attached an example of a workfile, it is '"av" that I am trying to regress aga...

Hi Glenn, I am forecasting the inflation rate for Japan. I use four models for this, the VAR VEC Random Walk and ARIMA model. I have done this already. To be able to compare the models in terms of performance, I want to perform the Diebold Mariano test. This test is a regression of the loss differen...

A very short, and probably simple question. I have estimated the RW, ARIMA, VAR and VEC models according to all criteria to forecast inflation with eviews 7. My next step is to compare the models using the Diebold Mariano test. I have manually calculated the mean loss differential of 8 periods ahead...

One more additional question: Why is it that if i create a variable in natural logarithm first,that the unit root test (adf & pp) gives different results from when I have the variable in a workfile, convert the workfile to natural log, and then test for unit root? Again, the data is the same? Th...

Dear all, So far the forum has helped me a lot, but now I have a few questions myself. 1 I am testing for unit root for with ADF and PP test. At level and first difference, and I have taken the natural logarithm of two variables, lm1 and lm3. I have tested for unit root before, and now that I am tes...