Not using R, but you can have a look at the RATS source code
DMARIANO.SRCavailable on page
http://www.estima.com/Forecasting.shtml and translate it into R.

Hannu

On 11/24/06, Graham Leask <G.Leask@aston.ac.uk> wrote:
>
> Dear List
>
> Has anyone used R to distnguish between alternative forecasting models? In
> particular
> is the Diebold Mariano test available for use within R.
>
> Any assistance would be greatly appreciated.
>
>
>
> Graham Leask
> Lecturer in Strategy
> Economics & Strategy Group
> Aston University
> Aston Triangle
> Birmingham
> B4 7ET
>
> Tel: 0121 204 3150
> E Mail: g.leask@aston.ac.uk
>
> ______________________________________________
> R-help@stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>

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