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prtdiebmar

prints the result from the Diebold-Mariano test

CALLING SEQUENCE

prtdiebmar(res,out)

PARAMETERS

Input

* res = a tlist provided by a univariate regression function

* out = the file where the results are printed (optional; default: %io(2), i.e the screen)

 

Output

* nothing, just prints the results

DESCRIPTION

Prints the result from the Diebold-Mariano test.

EXAMPLE

load(GROCERDIR+'\data\industrial.dat') ;
 
// LABEL OF THE DATA
// y 						= french manufacturing production
// ypast 				=	industrial survey, past trend of production
// yfut 	 			=	industrial survey, futur trend of production
//
// MODELS TO COMPARE
// selected model by automatic function over the period 1979q1 - 2002q4
// delts(log(y)) = al*ypast + a2*delts(yfut) "indicators model"
// "benchmark model" :  AR(2) on delts(log(y))
 
 
bounds('1979q1','2003q4');
ri = rolreg('delts(log(y))','ypast','delts(yfut)','cte',...
'dates=[''1992q1'',''2003q4'']','hstep=1');
rb = rolreg('delts(log(y))','delts(lagts(log(y)))','delts(lagts(2,log(y)))','cte',...
'dates=[''1992q1'',''2003q4'']','hstep=1');
bounds();
 
y_indic =ri('yfor');
y_bench = rb('yfor');
 
bounds('1992q2','2003q4');     // select an appropriate sample period
rdb=diebmar('delts(log(y))','y_bench','y_indic','smallc=1','trunc=4','noprint'); // performs Diebold & Mariono test
 
prtdiebmar(rdb,%io(2))
 
// Prints on screen the tlist result coming from a univariate regression.

AUTHOR

Emmanuel Michaux/ Eric Dubois 2005

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