Diebold Mariano Test for Panel Data

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cuthbertdavies
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Joined: Thu Feb 15, 2024 2:51 am

Diebold Mariano Test for Panel Data

Postby cuthbertdavies » Thu Feb 15, 2024 8:03 pm

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

Re: Diebold Mariano Test for Panel Data

Postby EViews Gareth » Fri Feb 16, 2024 9:45 am

There's nothing built in that will do it, you'll need to write your own code.
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