Test_uSPA: Test uniform Superior Predictive Ability

In MultiHorizonSPA: Multi Horizon Superior Predictive Ability

Description

Implements the test for uniform Superior Predictive Ability (uSPA) of Quaedvlieg (2021)

Usage

Test_uSPA(LossDiff, L, B = 999)

Arguments

LossDiff	the T x H matrix forecast path loss differential
L	the parameter for the moving block bootstrap
B	integer, the number of bootstrap iterations. Default 999

Value

A list containing two objects:

"p_value"	the p-value for uSPA
"t_uSPA"	the statistics for uSPA

Author(s)

Luca Barbaglia https://lucabarbaglia.github.io/

References

Quaedvlieg, Rogier. "Multi-horizon forecast comparison." Journal of Business & Economic Statistics 39.1 (2021): 40-53.

See Also

Test_aSPA

Examples

## Test for uSPA
data(LossDiff_uSPA)
Test_uSPA(LossDiff=LossDiff_uSPA, L=3, B=10)

MultiHorizonSPA documentation built on April 6, 2021, 9:06 a.m.