Question Regarding the Use of Diebold-Mariano Test #60
Description
Dear Dr. @bmill3r ,
Thank you for the excellent work presented in your paper. I have a question regarding your methodology. I noticed that you used the Diebold-Mariano test to compare RMSE, and I was curious about your reasoning for this choice, given that the test is typically used for time series prediction.
Could you also clarify how you set the forecast horizon and the variance estimator for this test?
I appreciate your time and look forward to your insights.