Clark and West (2006) Test (MSPE-adjusted) on STATA

[Hannah James]

I am wondering if STATA has a code for the CW adjusted MSPE test or if anyone knows how I would manually code this. I am doing my dissertation on this and it's due very soon and have ran into a big problem as need to use the CW test but I cannot find this test anywhere!

I have attached a screenshot of what the test is from their paper (Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis (CW, 2007))

Thank you

Hannah