Diebold-Mariano and HLN Tests

[cousineddie]

Is there a SAS/ETS procedure that will calculate Diebold-Mariano and HLN tests for comparing two forecasts? If not, is there a function or subroutine in SAS/IML that will? Thanks.

[PeterClemmensen]

Perhaps this thread can help you

https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Arima-Forecast-Evaluation/td-p/29348...