I am looking into comparing the predictive accuracy of forecasts of different models against a benchmark model. For this I have looked into the Diebold-Mariano test statistic, however I am using the modified Harvey, Leybourne and Newbold version of this test and I do not understand the difference between the used T and h in this modification?
The original DM-statistic value is multiplied by the square root of:
[T + 1 - 2h + h(h-1)/T]/T
As far as I can see, the T and h will be equal for h-period forecast and as T being the length of the forecast errors?
Here is some provided reference: https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-2.pdf