{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}