Tests of Conditional Predictive Ability: Giacomini-White Test

[Bernardo Romero]

Hello everyone,

I need to perform Tests of Conditional Predictive Ability. I used dmariano command for Diebold-Mariano test, but I need to perform the Giacomini-White(2006) test. Anyone could help me or guide me, How can I perform that test in stata?

I will appriciate you support.

Thanks.

see Giacomini-White WP: https://core.ac.uk/download/pdf/9310198.pdf