Multivariate Version of the Diebold-Mariano Test

Allows to perform the multivariate version of the Diebold-Mariano test for equal predictive ability of multiple forecast comparison. Main reference: Mariano, R.S., Preve, D. (2012) .


multDM ver. 1.0 (Release date: 2018-05-18)

  • Initial release.

Reference manual

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1.1.3 by Krzysztof Drachal, a year ago

Browse source code at

Authors: Krzysztof Drachal [aut, cre] (Faculty of Economic Sciences , University of Warsaw , Poland)

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL-3 license

Imports MTS

See at CRAN