Multivariate Version of the Diebold-Mariano Test

Documentation for package ‘multDM’ version 1.1.5

DM.test	Computes Diebold-Mariano Test for the Equal Predictive Accuracy.
d_t	Computes Loss Differential.
loss	Computes Loss Function.
MDM.selection	Selects Models with Outstanding Predictive Ability basing on Multivariate Diebold-Mariano Test.
MDM.test	Computes Multivariate Diebold-Mariano Test for the Equal Predictive Accuracy of Two or More Non-nested Forecasting Models.
MDMforecasts	Sample Data.
oilforecasts	Sample Data from Crude Oil Price Forecasting.
print.MDM	Prints 'MDM' Object.
TB_AR_test	Computes Tiao-Box Test for Autocorrelation.
TB_MA	Checks for a Lag in VMA Process with Tiao-Box Procedure.