Title

giacross -- Run the Giacomini-Rossi Forecast Comparison test

Syntax

giacross
[realized value]
[forecast1]
[forecast2]
[,
options]

Main
window Rolling window for the forecast comparison. This option is necessary for the program to run.

alpha The level of the test; either 0.05 or 0.1. This option is necessary for the program to run.

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.

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.

References

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.

Compatibility and known issues

The following are required to run the giacross program:

. Stata 8.0 or higher

. The dmariano package. To install the dmariano command, type ssc install dmariano in the command prompt

. The data must be recognized as time series by Stata with the command tsset timevariable