multDM: Multivariate Version of the Diebold-Mariano Test

Allows to perform the multivariate version of the Diebold-Mariano test for equal predictive ability of multiple forecast comparison. Main reference: Mariano, R.S., Preve, D. (2012) <doi:10.1016/j.jeconom.2012.01.014>.

Version: 1.1.4
Imports: MTS
Published: 2022-06-09
DOI: 10.32614/CRAN.package.multDM
Author: Krzysztof Drachal [aut, cre] (Faculty of Economic Sciences, University of Warsaw, Poland)
Maintainer: Krzysztof Drachal <kdrachal at>
License: GPL-3
NeedsCompilation: no
Citation: multDM citation info
Materials: NEWS
In views: TimeSeries
CRAN checks: multDM results


Reference manual: multDM.pdf


Package source: multDM_1.1.4.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): multDM_1.1.4.tgz, r-oldrel (arm64): multDM_1.1.4.tgz, r-release (x86_64): multDM_1.1.4.tgz, r-oldrel (x86_64): multDM_1.1.4.tgz
Old sources: multDM archive


Please use the canonical form to link to this page.