{smcl} {title:Title} {phang} {bf:giacross} {hline 2} Run the Giacomini-Rossi Forecast Comparison test {synoptline} {marker syntax}{...} {title:Syntax} {p 8 17 2} {cmdab:giacross} [realized value] [forecast1] [forecast2] [{cmd:,} {it:options}] {synopthdr} {synoptline} {synoptset 20 tabbed}{...} {syntab:Main} {synopt:{opt window}}Rolling window for the forecast comparison. This option is necessary for the program to run.{p_end } {synopt:{opt alpha}}The level of the test; either 0.05 or 0.1. This option is necessary for the program to run.{p_end } {synopt:{opt nw}}Specifies the maximum order of the lag to be used in calculating the Newey-West long-run variance of the difference series from its autocovariance function for the Diebold-Mariano test. If it is not provided, the maximum lag order will be calculated from the Schwert criterion as a function of the sample size. {p_end} {synopt:{opt side}} Specifies if the alternative is two-sided or one-sided; either 2 or 1 (select 2 for two-sided tests and 1 for one-sided tests). If not specified, then the default is the two-sided alternative. Loss differences are calculated as DL=L(1)-L(2) where L(j) is the jth model's forecast loss series. H0: E(DL)=0 for all time periods, H1(two-sided): E(DL) not equal to 0, H1(one-sided): E(DL)>0. {p_end} {synoptline} {p2colreset}{...} {title:References} {pstd}Raffaella Giacomini, Barbara Rossi(2010): Forecast comparisons in unstable environments. Journal of Applied Econometrics (25), pp.595-620. Critical values can be found in Table I.{p_end} {title:Compatibility and known issues} {p 8 8 8} {pstd}The following are required to run the giacross program: {p_end} {phang2} . Stata 8.0 or higher {p_end} {phang2} . The dmariano package. To install the dmariano command, type ssc install dmariano in the command prompt {p_end} {phang2} . The data must be recognized as time series by Stata with the command tsset timevariable {p_end}