I was in need of the exact interface and output of the forecast package's dm.test() function to reproduce some results of work that I'm translating from R to Python. Surprisingly a simple google and deep dive in statsmodels API did not turn up any results, I'm wondering if it exists under a different naming convention system or library.
I did find an open source implementation here : https://github.com.cnpmjs.org/johntwk/Diebold-Mariano-Test but it does not have the exact interface, particularly the parameter to specify an alternative Hypothesis in the R function. There might be a small chance that I'm missing something in common due to my lack of background in statistics.
