DMARIANO in stata: Diebold_Mariano test: basic question

[Mike Kraft]

dmariano (written by Christopher Baum; ssc install dmariano) performs the Diebold_Mariano test for predictive accuracy.

I want to compare between the MSE of a predicted aggregate expenses PAE and a forecast of aggregate expenses that is based on a random walk as a benchmark. The former is estimated out of sample from a rolling regression with fixed window.

Is the following a correct way to do that using dmariano?

dmariano AE PAE lag_AE

Thanks

[Mike Kraft]

Hi All
I thought to bring this up again after 24 hours if anyone can contribute.
Thanks