{smcl}
{* 16feb2003}{...}
{hline}
help for {hi:mizrachl2}{right:(StataList distribution ?? ??? 2003)}
{hline}
{title:Mizrach robust forecast comparison statistic}
{p 8 14}{cmd:mizrachl2} {it:pred1 pred2}
[{cmd:if} {it:exp}] [{cmd:in} {it:range}] [{cmd:,k({it:lags})} ]
{p}{cmd:mizrachl2} is for use with time-series data. You must {cmd:tsset} your
data before using {cmd:mizrachl2}; see help {help tsset}.
{p} {it:varname} may contain time-series operators; see help {help varlist}.
{title:Description}
{p}{cmd:mizrachl2} calculates a forecast comparison test proposed by
Mizrach (1995). Given two competing predictions, a positive definite, robust
statistic for comparing the predictions' accuracy may be calculated.
{p}
{title:Options}
{p 0 4}{cmd:k} specifies the maximum order of the lag to be used in
calculating the long-run variance of the difference series from its autocovariance
function. If it is not provided, the maximum lag order will be calculated as a
function of the sample size.
{title:Examples}
{p 8 12}{inp:.} {stata "use http://fmwww.bc.edu/ec-p/data/macro/barclaymonthly.dta,clear":use http://fmwww.bc.edu/ec-p/data/macro/barclaymonthly.dta,clear}
{p 8 12}{inp:. mizrachl2 bbjpy1f bbjpy2f}
{p 8 12}{inp:. mizrachl2 bbjpy1f bbjpy2f, k(10)}
{p 8 12}{inp:. mizrachl2 D.bbjpy1f D.bbjpy2f if tin(1987m12,1996m12), k(4)}
{title:References}
Bruce Mizrach, "Forecast Comparison in L2", Rutgers University Working Paper
1995-24
{title:Acknowledgements}
This routine is a translation of a Fortran program kindly provided by
Bruce Mizrach. Remaining errors are my own.
{title:Author}
Christopher F Baum, Boston College, USA, baum@bc.edu
{title:Also see}
{p 0 19}On-line: help for {help predict}; help for {help dmariano} (if installed)
{p_end}