This Python function dm_test implements the Diebold-Mariano Test (1995) to statistically test forecast accuracy equivalence for 2 sets of predictions with modification suggested by Harvey et. al (1997).
python
prediction
econometrics
forecasting
dm
time-series-forecast
forecasting-test
diebold-mariano-test
dm-test
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Updated
Dec 7, 2017 - Python