dmtest {fDMA} | R Documentation |
Computes Diebold-Mariano Test.
Description
This is a wrapper for dm.test
from forecast
package. This function computes the original Diebold-Mariano test.
Usage
dmtest(y,f)
Arguments
y |
|
f |
|
Details
The null hypothesis is that the two methods have the same forecast accuracy. This function assumes that one-step ahead forecasts are compared and the second power is used in the loss function (see dm.test
). "The Diebold-Mariano (DM) test was intended for comparing forecasts; it has been, and remains, useful in that regard. The DM test was not intended for comparing models." (Diebold, 2015)
Value
matrix
,
first column contains tests statistics, next p-values are given for the alternative hypothesis that alternative forecasts have different accuracy than the compared forecast, alternative forecasts are less accurate and alternative forecasts have greater accuracy, tests outcomes for different forecasts are ordered by rows
References
Diebold, F. X., 2015. Comparing predictive accuracy, Twenty years later: A peersonal perspective on the use and abuse of Diebold-Mariano tests. Journal of Business & Economic Statistics 33, doi: 10.1080/07350015.2014.983236.
Diebold, F. X., Mariano, R. S., 1995. Comparing predictive accuracy. Journal of Business & Economic Statistics 13, 253–263.
See Also
Examples
wti <- crudeoil[-1,1]
drivers <- (lag(crudeoil[,-1],k=1))[-1,]
ld.wti <- (diff(log(wti)))[-1,]
ld.drivers <- (diff(log(drivers)))[-1,]
m <- fDMA(y=ld.wti,x=ld.drivers,alpha=0.99,lambda=0.90,initvar=10)
m <- m$y.hat
a <- altf2(y=ld.wti,x=ld.drivers,d=TRUE)
a <- a$y.hat
a <- matrix(unlist(a),nrow=length(a),byrow=TRUE)
fc <- rbind(m,a)
dm <- dmtest(y=as.vector(ld.wti),f=fc)