Hi everyone,
Do any of you have a macro or something to perform the Granger-Newbold or the Diebold-Mariano tests on two Arima models forecasts on a holdback period? I'm using the 4.3 Enterprise Guide.
Hello -
http://faculty.smu.edu/tfomby/eco5375/data/Exercises/Diebold-Mariano%20Test.sas (see also: http://faculty.smu.edu/tfomby/eco5375/data/Exercises/)
might get you started.
Thanks,
Udo
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