multDM (1.0)

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Multivariate Version of the Diebold-Mariano Test.

https://CRAN.R-project.org/package=multDM
http://cran.r-project.org/web/packages/multDM

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) .

Maintainer: Krzysztof Drachal
Author(s): Krzysztof Drachal [aut, cre] (Faculty of Economic Sciences, University of Warsaw, Poland)

License: GPL-3

Uses: Does not use any package

Released over 1 year ago.


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