Diebold Mariano are these models nested ?
Posted: Mon Jun 27, 2011 5:34 pm
Hi all,
I wanted to perform an DM test but im sceptical if these models could be nested.
AR(2) model for the levels and AR(1) model for first differences. Eventuelly i have to test some restrictions?
I wanted to perform an DM test but im sceptical if these models could be nested.
AR(2) model for the levels and AR(1) model for first differences. Eventuelly i have to test some restrictions?