d_t function

Computes Loss Differential.

This function computes loss differential, i.e., differences between losses from $k+1$-th and $k$-th models.

d_t(e)

Arguments

• e: matrix of loss functions, columns correspond to time index, and rows to different models

Returns

matrix of loss differentials

Examples

data(MDMforecasts)
ts <- MDMforecasts$ts
forecasts <- MDMforecasts$forecasts
l <- loss(realized=ts,evaluated=forecasts,loss.type="SE")
d <- d_t(l)

References

Mariano R.S., Preve, D., 2012. Statistical tests for multiple forecast comparison. Journal of Econometrics 169 , 123--130.