Diebold-Mariano Test Statistic

Retrieves the Diebold-Mariano (1995) test statistic, taking into account autocorrelation.

Version 1.2.0 (2.33 KB)
3.3K Downloads
(6)
19 Feb 2017
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Cite As

Semin Ibisevic (2026). Diebold-Mariano Test Statistic (https://in.mathworks.com/matlabcentral/fileexchange/33979-diebold-mariano-test-statistic), MATLAB Central File Exchange. Retrieved .

Acknowledgements

Inspired: dmtest_modified(e1, e2, h)

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General Information

MATLAB Release Compatibility

  • Compatible with any release

Platform Compatibility

  • Windows
  • macOS
  • Linux
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Version Published Release Notes
1.2.0

Implemented the change proposed by Mark to prevent the occurrence of a negative variance estimator when taking longer horizons.
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1.1.0

updated the description
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1.0.0

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