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help for mizrachl2                         (StataList distribution ?? ??? 2003)
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Mizrach robust forecast comparison statistic

        mizrachl2 pred1 pred2 [if exp] [in range] [,k(lags) ]

mizrachl2 is for use with time-series data.  You must tsset your data before
using mizrachl2; see help tsset.

varname may contain time-series operators; see help varlist.


Description

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.


Options

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.


Examples

        . use http://fmwww.bc.edu/ec-p/data/macro/barclaymonthly.dta,clear

        . mizrachl2 bbjpy1f bbjpy2f

        . mizrachl2 bbjpy1f bbjpy2f, k(10)

        . mizrachl2 D.bbjpy1f D.bbjpy2f if tin(1987m12,1996m12), k(4)

References

Bruce Mizrach, "Forecast Comparison in L2", Rutgers University Working Paper 
     1995-24       

Acknowledgements

This routine is a translation of a Fortran program kindly provided by
Bruce Mizrach. Remaining errors are my own.

Author

Christopher F Baum, Boston College, USA, baum@bc.edu

Also see

On-line:  help for predict; help for dmariano (if installed)