Using Diebold-Mariano test
So you want to do a Diebold-Mariano test eh? How about the Diebold-Mariano test dm.test function in the forecast package of R?

dm.test {forecast}

Diebold-Mariano test for predictive accuracy
Package: 
forecast
Version: 
6.2
Description

The Diebold-Mariano test compares the forecast accuracy of two forecast methods.
Usage

dm.test(e1, e2, alternative=c("two.sided","less","greater"),
    h=1, power=2)


(Took me ten seconds to find)