dmtest_modified(e1, e2, h)
The Diebold-Mariano Test (Modified as per Harvey, Leybourne, and Newbold (1997))
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This function builds on the previously produced dmtest function and includes the modification suggested by Harvey, Leybourne, and Newbold (1997) to the test , calculates the p-value and addresses the issue with the assumption of zero covariance at 'unobserved' lags.
Cite As
Jaime Trujillo (2026). dmtest_modified(e1, e2, h) (https://ch.mathworks.com/matlabcentral/fileexchange/58787-dmtest_modified-e1-e2-h), MATLAB Central File Exchange. Retrieved .
Acknowledgements
Inspired by: Diebold-Mariano Test Statistic
General Information
- Version 1.3.0.0 (3.2 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
