MSE/MAE or Diebold Mariano/Clarke West Test? (Forecasting Acccuracy)

[econ anonymous]

Which test is preferred for checking forecast accuracy of ARIMA model in time series data, can I use Clarke west test and Diebold Mariano to test for forecast accuracy or is MSE a better test to selecting the model which fits the data best depending on two ARIMA models. is there also a specific command in STATA for finding MSE/MAE/RMSE for ARIMA models, I would very much appreciate your help in answering the above questions, thanks in advance