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: g.leask at aston.ac.uk
Not using R, but you can have a look at the RATS source code DMARIANO.SRCavailable on page http://www.estima.com/Forecasting.shtml and translate it into R. Hannu On 11/24/06, Graham Leask <G.Leask@aston.ac.uk> wrote:> > 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: g.leask@aston.ac.uk > > ______________________________________________ > R-help@stat.math.ethz.ch 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. >[[alternative HTML version deleted]]
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: g.leask at aston.ac.uk > > > >-------------- next part -------------- An embedded and charset-unspecified text was scrubbed... Name: diebold.mariano.R Url: https://stat.ethz.ch/pipermail/r-help/attachments/20061125/e1085e32/attachment.pl