DMtest - Diebold-Mariano Forecast Evaluation Test
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DMtest - Diebold-Mariano Forecast Evaluation Test
This thread is about the add-in DMtest. This add-in carries out Diebold and Mariano's (1995) test for the equality of forecast accuracy of two forecasts. The add-in requests the user to input 2 equation objects, the forecast sample, and to select a loss function (squared or absolute). The output is a spool that includes a table of results which displays the Diebold-Mariano test statistic and a p-value, and graphs of the two forecasts.
Please let me know if there are any questions.
- Angela Vossmeyer
Please let me know if there are any questions.
- Angela Vossmeyer
Re: DMtest - Diebold-Mariano Forecast Evaluation Test
thanks alot for this Add-in :D , how to explain the results?.
best regards.
best regards.
Re: DMtest - Diebold-Mariano Forecast Evaluation Test
Please provide option for modified dmtest
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: DMtest - Diebold-Mariano Forecast Evaluation Test
What is "modified dmtest"?
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Re: DMtest - Diebold-Mariano Forecast Evaluation Test
Hi, I'm transforming my dependent variable, let say "x", by taking the first difference, so it is equal to d(x,1). When I run the add-in, an error message appears: "Syntax error in "IF @OBSSMPL <> D(X,1).@OBS THEN".
Is there a way to overcome that error or It is not possible to work with dependente variables using functions like d(x,1).
Kind regards,
Is there a way to overcome that error or It is not possible to work with dependente variables using functions like d(x,1).
Kind regards,
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13399
- Joined: Tue Sep 16, 2008 5:38 pm
Re: DMtest - Diebold-Mariano Forecast Evaluation Test
Should be able to fix that - stay tuned for an update.
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Re: DMtest - Diebold-Mariano Forecast Evaluation Test
Hi Annibal,
Thanks for bringing this to attention. The file has been updated and uploaded so this shouldn't be an issue anymore.
Let me know if there's anything else,
-Angela
Thanks for bringing this to attention. The file has been updated and uploaded so this shouldn't be an issue anymore.
Let me know if there's anything else,
-Angela
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- Posts: 7
- Joined: Fri Dec 20, 2013 3:48 pm
Re: DMtest - Diebold-Mariano Forecast Evaluation Test
Hi ecofin, if the p-value is above your desired significance level, the results indicate that the researcher cannot reject the hypothesis of equal expected forecast error, or forecast accuracy. Hope this helps! - Angela
Re: DMtest - Diebold-Mariano Forecast Evaluation Test
Please tell how to run the addin as program line command
Re: DMtest - Diebold-Mariano Forecast Evaluation Test
hi, thanks for your reply
is that I understood H0: equal expected forecast error, alternative H1: not equal expected error.
I have simple suggestion to Add line vertical and horizontal in graph to show the point of forecast101 intercept forecat201, and estimate this point in out put.
Best regards.
is that I understood H0: equal expected forecast error, alternative H1: not equal expected error.
I have simple suggestion to Add line vertical and horizontal in graph to show the point of forecast101 intercept forecat201, and estimate this point in out put.
Best regards.
- Attachments
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- intercept_calc.png (7.35 KiB) Viewed 45162 times
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- intercept forecast point.png (32.08 KiB) Viewed 45162 times
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13399
- Joined: Tue Sep 16, 2008 5:38 pm
Re: DMtest - Diebold-Mariano Forecast Evaluation Test
Your case is somewhat specific. How do you know the two forecasts are going to have an intercept? How do you know that they are going to have just one? They could cross 15,000 times!
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Re: DMtest - Diebold-Mariano Forecast Evaluation Test
hi
good question, I don't know but I have estime two models x c ar(1) the second x c ar(1) ar(2) for box-jenkins aire line passenger (just select 2 models for an example), I know They could cross 15,000 times. it is my mistake to understand that there are some models that can intercept in one point.
Best regards. ecofin
good question, I don't know but I have estime two models x c ar(1) the second x c ar(1) ar(2) for box-jenkins aire line passenger (just select 2 models for an example), I know They could cross 15,000 times. it is my mistake to understand that there are some models that can intercept in one point.
Best regards. ecofin
Re: DMtest - Diebold-Mariano Forecast Evaluation Test
hi
thanks for this Add-in ,is this Add-in the Diebold and Mariano’s asymptotic test?, and can you write in the future an Add-in with four COMPARING FORECAST ERRORS OF DIFFERENT MODELS like:
1-Diebold and Mariano’s asymptotic test;
2-Diebold and Mariano’s sign test;
3-Diebold and Mariano’s Wilcoxon sign-rank test;
4-Serially correlated loss differentials.
the guide reference in book Chapter 2 A Practical Guide to Forecasting Financial Market Volatility, Ser-Huang Poon, John Wiley, pp 24-28.
Kind regards. metrix
thanks for this Add-in ,is this Add-in the Diebold and Mariano’s asymptotic test?, and can you write in the future an Add-in with four COMPARING FORECAST ERRORS OF DIFFERENT MODELS like:
1-Diebold and Mariano’s asymptotic test;
2-Diebold and Mariano’s sign test;
3-Diebold and Mariano’s Wilcoxon sign-rank test;
4-Serially correlated loss differentials.
the guide reference in book Chapter 2 A Practical Guide to Forecasting Financial Market Volatility, Ser-Huang Poon, John Wiley, pp 24-28.
Kind regards. metrix
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Re: DMtest - Diebold-Mariano Forecast Evaluation Test
Hi Metrix,
Yes, this add-in is for the asymptotic test. I will look into these other suggestions.
Thanks,
Angela
Yes, this add-in is for the asymptotic test. I will look into these other suggestions.
Thanks,
Angela
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