Arima Forecast Evaluation

[bcbalvim]

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.

[udo_sas]

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