statsmodels.tsa.stattools.DieboldMarianoResult#

class statsmodels.tsa.stattools.DieboldMarianoResult(statistic, pvalue, lags, harvey_adj_factor)[source]#

Parameters:

statisticfloat: The Diebold-Mariano test statistic. Asymptotically standard normal under the null of equal predictive accuracy, or Student’s t with nobs - 1 degrees of freedom when the Harvey et al. (1997) small-sample correction is applied.
pvaluefloat: The two-sided p-value for the null of equal predictive accuracy.
lagsint: The number of lags used in the Newey-West estimator of the long-run variance of the loss differential.
harvey_adj_factorfloat or None: The finite-sample adjustment factor of Harvey et al. (1997) that was applied to statistic. None unless harvey_adj was True.

Attributes:

Notes

Unpacks as statistic, pvalue = result. The other two fields are only available through attribute access.

Methods

Properties