Diebold-Mariano and Clark And West test statistics

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alps
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Joined: Sun Feb 24, 2013 7:42 am

Diebold-Mariano and Clark And West test statistics

Postby alps » Fri Mar 01, 2013 11:17 am

Hello,
I am trying to measure the performance of a few forecasting models I have.

There are 2 adjusted statistics: DM and CW. I checked several sources but I am not sure about the difference. I wonder if anybody has an idea.

DM statistics: S= d/sqrt(varience of d(t)) sqrt(N)

d(t) = RMSE1(t) - RMSE2(t)

mean of d(t) ==> d= 1/N sum of (d(t)

Thanks a lot

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