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- Matlab and R codes for the Coroneo and Iacone (2020) test to evaluate predictive ability in small samples now available! They show how to apply the Diebold and Mariano (1995) test in small samples.
Links:
https://www-users.york.ac.uk/~lc1081/dm_fsa.m (Matlab)
https://www-users.york.ac.uk/~lc1081/dm_fsa.R (R)
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