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st: revised dmariano

From   Kit Baum <>
Subject   st: revised dmariano
Date   Tue, 27 Jun 2006 09:48:11 -0400

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

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