multDM: Multivariate Version of the Diebold-Mariano Test

Allows to perform the multivariate version of the Diebold-Mariano test for equal predictive ability of multiple forecast comparison. Main reference: Mariano, R.S., Preve, D. (2012) <doi:10.1016/j.jeconom.2012.01.014>.

Version: 1.0
Published: 2018-05-18
Author: Krzysztof Drachal [aut, cre] (Faculty of Economic Sciences, University of Warsaw, Poland)
Maintainer: Krzysztof Drachal <kdrachal at wne.uw.edu.pl>
License: GPL-3
URL: https://CRAN.R-project.org/package=multDM
NeedsCompilation: no
Citation: multDM citation info
Materials: NEWS
In views: TimeSeries
CRAN checks: multDM results

Downloads:

Reference manual: multDM.pdf
Package source: multDM_1.0.tar.gz
Windows binaries: r-devel: multDM_1.0.zip, r-release: multDM_1.0.zip, r-oldrel: multDM_1.0.zip
OS X binaries: r-release: multDM_1.0.tgz, r-oldrel: multDM_1.0.tgz

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