Timeline for How to interpret modified Diebold and Mariano test?
Current License: CC BY-SA 4.0
6 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Mar 2, 2023 at 17:35 | vote | accept | ebrahimi | ||
| Mar 2, 2023 at 17:22 | answer | added | Richard Hardy | timeline score: 0 | |
| Mar 2, 2023 at 17:17 | comment | added | Richard Hardy | Have you read a textbook entry on the Diebold-Mariano test? What exactly did you find confusing? It is just a $t$-test that can be interpreted in a pretty regular way. Also, I can warmly recommend Diebold's (2015) paper on the use and abuse of the test. | |
| Mar 2, 2023 at 17:07 | comment | added | ebrahimi | @RichardHardy. Yes, could you please explain it? | |
| Mar 2, 2023 at 17:01 | comment | added | Richard Hardy | Do you have any trouble interpreting the unmodified DM test? The interpretation of the modified test is the same. Modification simply allows for nonzero autocorrelation in forecast errors. | |
| Mar 2, 2023 at 14:41 | history | asked | ebrahimi | CC BY-SA 4.0 |