Hello Graham
Pls find attached some old R code for the Diebold Mariano test. The code
is at least 6 years old and was not used in the meantime. Pls check
first before using it.
Best regards
Adrian
Dear List
Has anyone used R to distnguish between alternative forecasting models? In particular
is the Diebold Mariano test available for use within R.
Any assistance would be greatly appreciated.
Graham Leask
Lecturer in Strategy
Economics & Strategy Group
Aston University
Aston Triangle
Birmingham
B4 7ET
Tel: 0121 204 3150
E Mail: [EMAIL PROTECTED]
diebold.mariano.test <- function(x, alternative = c("two.sided", "less",
"greater"), k)
{
if (NCOL(x) > 1)
stop("x is not a vector or univariate time series")
if (any(is.na(x)))
stop("NAs in x")
alternative <- match.arg(alternative)
DNAME <- deparse(substitute(x))
n <- NROW(x)
cv <- acf(x, lag.max=k, type="covariance", plot=FALSE)$acf[,,1]
eps <- 1.0e-8
vr <- max(eps, sum(c(cv[1], 2*cv[-1])) / n)
STATISTIC <- mean(x) / sqrt(vr)
names(STATISTIC) <- "Standard Normal"
METHOD <- "Diebold-Mariano Test"
if (alternative == "two.sided")
PVAL <- 2 * pnorm(-abs(STATISTIC))
else if (alternative == "less")
PVAL <- pnorm(STATISTIC)
else if (alternative == "greater")
PVAL <- pnorm(STATISTIC, lower.tail = FALSE)
PARAMETER <- k
names(PARAMETER) <- "Truncation lag"
structure(list(statistic = STATISTIC, parameter = PARAMETER, alternative =
alternative,
p.value = PVAL, method = METHOD, data.name = DNAME),
class = "htest")
}
g <- function(x)
{
abs(x)
}
e1 <- rnorm(500)
e2 <- rnorm(500)
diebold.mariano.test(g(e1)-g(e2), k = 3)
e1 <- rnorm(500, sd=1)
e2 <- rnorm(500, sd=1.3)
diebold.mariano.test(g(e1)-g(e2), k = 3)
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