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: 1.1.3
Imports: MTS
Published: 2020-06-13
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

Documentation:

Reference manual: multDM.pdf

Downloads:

Package source: multDM_1.1.3.tar.gz
Windows binaries: r-devel: multDM_1.1.3.zip, r-release: multDM_1.1.3.zip, r-oldrel: multDM_1.1.3.zip
macOS binaries: r-release (arm64): multDM_1.1.3.tgz, r-release (x86_64): multDM_1.1.3.tgz, r-oldrel: multDM_1.1.3.tgz
Old sources: multDM archive

Linking:

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