dmtest_modified(e1, e2, h)

Version 1.3.0.0 (3.2 KB) by Jaime Trujillo
The Diebold-Mariano Test (Modified as per Harvey, Leybourne, and Newbold (1997))
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607 Downloads
Updated 10 Nov 2016

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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 (2024). dmtest_modified(e1, e2, h) (https://www.mathworks.com/matlabcentral/fileexchange/58787-dmtest_modified-e1-e2-h), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2015a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired by: Diebold-Mariano Test Statistic

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Version Published Release Notes
1.3.0.0

update
p-value has been adjusted
1.2.0.0

revised
1.0.0.0