Diebold-Mariano and Clark And West test statistics
Posted: 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
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