Diebold-Mariano Test

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Gilbril
Posts: 78
Joined: Thu Aug 19, 2010 2:00 pm

Diebold-Mariano Test

Unread post by Gilbril »

Dear Tom,

I'm currently evaluating forecasts for a panel of countries obtained from two different models. I would like to compare both models, is there any version of the Diebold-Mariano Test which works in a panel?

Many thanks.

Regards
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Diebold-Mariano Test

Unread post by TomDoan »

So far as I know, there's nothing in the D-M test that breaks if applied to a panel. You just have to figure out how to compute the variance of the averaged difference of the loss function (which will depend quite a bit on the assumptions you make about the connections between individuals).
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