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) .


News

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

  • Initial release.

Reference manual

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install.packages("multDM")

1.1.3 by Krzysztof Drachal, a month ago


https://CRAN.R-project.org/package=multDM


Browse source code at https://github.com/cran/multDM


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