Diebold Mariano Test for Panel Data

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Laurel
Posts: 19
Joined: Mon May 04, 2020 2:39 pm

Diebold Mariano Test for Panel Data

Postby Laurel » Fri Mar 05, 2021 1:21 am

How do I do forecast evaluation and the Diebold-Mariano (DM) test for panel data? The "View/Forecast Evaluation" is not available in stacked panel data. Even the DMtest add-in generates an "illegal date" error with panel data. Thanks!

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13307
Joined: Tue Sep 16, 2008 5:38 pm

Re: Diebold Mariano Test for Panel Data

Postby EViews Gareth » Fri Mar 05, 2021 8:00 am

There is nothing built in that will do DM for panels.
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