Dmariano Test
Dear,
I have a problem in running the Dmariano Test after tsset the time series.
After command ' dmariano realizedvolatility randomwalk ewma, max(1)' (compare the forecasting values from two models with the true value )
it shows error-
'Long-run variance is non-positive for this kernel and truncation lag.
matrix not positive definite'
Can any one tell me how to fix this problem?
Many thanks,
Chenlin
I have a problem in running the Dmariano Test after tsset the time series.
After command ' dmariano realizedvolatility randomwalk ewma, max(1)' (compare the forecasting values from two models with the true value )
it shows error-
'Long-run variance is non-positive for this kernel and truncation lag.
matrix not positive definite'
Can any one tell me how to fix this problem?
Many thanks,
Chenlin
