create_unified_summary: Create Unified Summary

In RCtest: Reality Check and Predictive Ability Tests for Forecast Evaluation

Create Unified Summary

Description

Creates a summary data frame consolidating p-values and conclusions for all statistical tests across all datasets and error metrics. Covers White's Reality Check (WRC), Superior Predictive Ability (SPA), Conditional Predictive Ability (CPA), ZP Quantile Loss test, and Kullback-Leibler (KLIC) test.

Usage

create_unified_summary(comprehensive_results, alpha = 0.05)

Arguments

comprehensive_results	list output from run_comprehensive_erc_analysis.
alpha	Numeric significance level for determining conclusions. Default is 0.05.

Value

list containing a data frame named summary with columns: Dataset, Test, P_Value, Statistic, Conclusion ("H0 rejected" or "H0 accepted").

References

White, H. (2000). A reality check for data snooping. Econometrica, 68(5), 1097–1126. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1111/1468-0262.00152")}

Hansen, P. R. (2005). A Test for Superior Predictive Ability. Journal of Business & Economic Statistics, 23(4), 365–380. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1198/073500105000000063")}

Giacomini, R., & White, H. (2006). Tests of Conditional Predictive Ability. Econometrica, 74(6), 1545–1578. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1111/j.1468-0262.2006.00718.x")}

Corradi, V., & Swanson, N. R. (2006). Predictive density and conditional confidence interval accuracy tests. Journal of Econometrics, 135(1–2), 187–228. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/j.jeconom.2005.07.026")}

See Also

run_comprehensive_erc_analysis, generate_comprehensive_report, compute_per_model_statistics

Examples

data(metals)
realizations <- list(M = metals[, ncol(metals)])
prep_list    <- list(M = list(R_start = 0))
f_hat        <- list(list(NULL, NULL, metals))
names(f_hat) <- "M"
res <- run_comprehensive_erc_analysis(
  data_list_prepared = prep_list,
  mods_matrix        = matrix(0),
  alpha_grid         = 0.05,
  window_size        = 20,
  y_hat_all          = f_hat,
  y_raw              = realizations,
  block_length       = 5,
  n_boot             = 10,
  zp_quantile        = 0.05
)
summary_table <- create_unified_summary(res$aggregate_results)
print(summary_table$summary)

RCtest documentation built on June 2, 2026, 9:07 a.m.