{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}

