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Re: st: revised dmariano


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: revised dmariano
Date   Tue, 27 Jun 2006 11:49:49 -0400

Kit,
   Thanks for the Dmariano fix.  Kajal Lahiri told me
that there are power problems with the Diebold-Mariano
test.  What have you heard about these?
   Maddala and Kim mention that that there are power problems
with the KPSS test and suggest that the ERS test is probably
the better one to use.
   Regards,
      Bob Yaffee


Robert A. Yaffee, Ph.D.
Research Professor
Shirley M. Ehrenkranz
School of Social Work
New York University

home address:
Apt 19-W
2100 Linwood Ave.
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
yaffee@nyu.edu

----- Original Message -----
From: Kit Baum <baum@bc.edu>
Date: Tuesday, June 27, 2006 9:48 am
Subject: st: revised dmariano

> The dmariano (Diebold-Mariano forecast comparison statistic) 
> routine  
> has been revised to correct a minor error in the computation of the 
> 
> long-run variance. I am grateful to Somchai Amornthum for bringing  
> this to my attention. The corrected version uses Mata, thus 
> requiring  
> Stata 9.2, and is available from SSC. If you have already installed 
> 
> the routine, adoupdate will do the job.
> 
> Kit Baum, Boston College Economics
> http://ideas.repec.org/e/pba1.html
> 
> 
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