Fix Diebold-Mariano as a TTest #205
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mschauer
approved these changes
May 25, 2020
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One more gripe (sorry...): I would suggest cutting lines 31-42 of the test file. Motivation: (a) the random numbers are not guaranteed to be the same across Julia versions (you need StableRNGs.jl for that). Second, the motivation/comment on line 31 may not always hold - especially not in out-of-sample setting. |
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Good point, I agree to the removal. |
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Removed :) |
mschauer
approved these changes
May 25, 2020
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As a TTest it should have a
xbar,stderr, and\mu0. @PaulSoderlind pointed out in #203 an error and it is due to not having these in theDieboldMarianoTeststruct