Multivariate Version of the Diebold-Mariano Test
Computes Loss Differential.
Computes Diebold-Mariano Test for the Equal Predictive Accuracy.
Computes Loss Function.
Selects Models with Outstanding Predictive Ability basing on Multivari...
Computes Multivariate Diebold-Mariano Test for the Equal Predictive Ac...
Prints MDM Object.
Computes Tiao-Box Test for Autocorrelation.
Checks for a Lag in VMA Process with Tiao-Box Procedure.
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) <doi:10.1016/j.jeconom.2012.01.014>.