Test_uSPA: Test uniform Superior Predictive Ability

Description Usage Arguments Value Author(s) References See Also Examples

View source: R/Test_uSPA.R

Description

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

Usage

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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

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## 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.