Hello, I am trying to calculate Diebold Mariano test statistic (DM) using dm.test module. I also try to do the same thing with STATA and I get vastly different results (4.5 vs 25). Does someone have experience with this module?
I tried to calculate the DM statistic manually. If by “d” I define the difference of squared forecast errors for two models, then DM=mean(d)/sqrt(long_run_var(d)). To calculate long run variance of d I use newey west standard errors. What I don’t understand in newey west command is meaning of “prewhite”. Any help? Thanks! ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
