DM statistic calculated incorrectly

[namiyousef]

Hi, I had a doubt on the way the DM test is calculated? https://epftoolbox.readthedocs.io/en/latest/modules/statest/dm.html

This disagrees with other sources:

• https://real-statistics.com/time-series-analysis/forecasting-accuracy/diebold-mariano-test/
• https://www.lem.sssup.it/phd/documents/Lesson19.pdf

[jeslago]

Why do you think it is different? It is the same as the one described in https://www.lem.sssup.it/phd/documents/Lesson19.pdf.

[jeslago]

Closing due to inactivity