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st: diebold-mariano test


From   "Carlo Fezzi" <c.fezzi@uea.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: diebold-mariano test
Date   Tue, 24 Mar 2009 11:47:59 -0000

Dear all,

I am comparing the forecasting performance of two models estimated on panel
data with small T (<20) and large N (> 2000). I compare the forecasting
performance estimating the two models on T-1 years and forecasting on the
last year of the panel. Is the Diebold-Mariano test appropriate in this
case, or it is suitable only for time series? If not appropriate, anybody
can suggest another approach?

Thank you very much,

Carlo


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