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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: 1.1.4
Imports: MTS
Published: 2022-06-09
DOI: 10.32614/CRAN.package.multDM
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_1.1.4.tar.gz
Windows binaries: r-devel: multDM_1.1.4.zip, r-release: multDM_1.1.4.zip, r-oldrel: multDM_1.1.4.zip
macOS binaries: r-release (arm64): multDM_1.1.4.tgz, r-oldrel (arm64): multDM_1.1.4.tgz, r-release (x86_64): multDM_1.1.4.tgz, r-oldrel (x86_64): multDM_1.1.4.tgz
Old sources: multDM archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=multDM to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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