Diebold-Mariano test for predictive accuracy
The Diebold-Mariano test compares the forecast accuracy of two forecast methods.
dm.test(
e1,
e2,
alternative = c("two.sided", "less", "greater"),
h = 1,
power = 2
)e1 |
Forecast errors from method 1. |
e2 |
Forecast errors from method 2. |
alternative |
a character string specifying the alternative hypothesis,
must be one of |
h |
The forecast horizon used in calculating |
power |
The power used in the loss function. Usually 1 or 2. |
This function implements the modified test proposed by Harvey, Leybourne and
Newbold (1997). The null hypothesis is that the two methods have the same
forecast accuracy. For alternative="less", the alternative hypothesis
is that method 2 is less accurate than method 1. For
alternative="greater", the alternative hypothesis is that method 2 is
more accurate than method 1. For alternative="two.sided", the
alternative hypothesis is that method 1 and method 2 have different levels
of accuracy.
A list with class "htest" containing the following
components:
statistic |
the value of the DM-statistic. |
parameter |
the forecast horizon and loss function power used in the test. |
alternative |
a character string describing the alternative hypothesis. |
p.value |
the p-value for the test. |
method |
a character string with the value "Diebold-Mariano Test". |
data.name |
a character vector giving the names of the two error series. |
George Athanasopoulos
Diebold, F.X. and Mariano, R.S. (1995) Comparing predictive accuracy. Journal of Business and Economic Statistics, 13, 253-263.
Harvey, D., Leybourne, S., & Newbold, P. (1997). Testing the equality of prediction mean squared errors. International Journal of forecasting, 13(2), 281-291.
# Test on in-sample one-step forecasts f1 <- ets(WWWusage) f2 <- auto.arima(WWWusage) accuracy(f1) accuracy(f2) dm.test(residuals(f1),residuals(f2),h=1) # Test on out-of-sample one-step forecasts f1 <- ets(WWWusage[1:80]) f2 <- auto.arima(WWWusage[1:80]) f1.out <- ets(WWWusage[81:100],model=f1) f2.out <- Arima(WWWusage[81:100],model=f2) accuracy(f1.out) accuracy(f2.out) dm.test(residuals(f1.out),residuals(f2.out),h=1)
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.