csc.C3.test: Computes Test for Cross-Sectional Clusters.

In pEPA: Tests of Equal Predictive Accuracy for Panels of Forecasts

Computes Test for Cross-Sectional Clusters.

Description

This function computes test of the equal predictive accuracy for cross-sectional clusters. It corresponds to C^{(3)}_{nT} statistic in the referenced paper by Akgun et al. (2024). The null hypothesis of this test is that a pair of forecasts have the same expected accuracy among cross-sectional clusters. However, their predictive accuracy can be different across the clusters, but the same among each cluster. The test allows for strong cross-sectional dependence.

Usage

csc.C3.test(evaluated1,evaluated2,realized,loss.type="SE",cl)

Arguments

evaluated1	same as in pool_av.test, but cross-sections are ordered rowwise
evaluated2	same as in pool_av.test, but cross-sections are ordered rowwise
realized	same as in pool_av.test, but cross-sections are ordered rowwise
loss.type	same as in pool_av.test
cl	vector of the beginning indices of rows for each pre-defined clusters – as a result always cl[1]=1

Value

class htest object, list of

statistic	test statistic
parameter	K, number of cross-sectional clusters
alternative	alternative hypothesis of the test
p.value	p-value
method	name of the test
data.name	names of the tested data

References

Akgun, O., Pirotte, A., Urga, G., Yang, Z. 2024. Equal predictive ability tests based on panel data with applications to OECD and IMF forecasts. International Journal of Forecasting 40, 202–228.

See Also

pool_av.test, csc.C1.test

Examples

data(forecasts)
y <- t(observed)
# just to reduce computation time restrict to energy commodities only
y <- y[1:8,]
f.bsr <- matrix(NA,ncol=ncol(y),nrow=8)
f.dma <- f.bsr
# extract prices predicted by BSR rec and DMA methods
for (i in 1:8)
  {
    f.bsr[i,] <- predicted[[i]][,1]
    f.dma[i,] <- predicted[[i]][,9]
  }
# 2 cross-sectional clusters: crude oil and other energy commodities
cs.cl <- c(1,4)
t <- csc.C3.test(evaluated1=f.bsr,evaluated2=f.dma,realized=y,loss.type="SE",cl=cs.cl)

pEPA documentation built on April 3, 2025, 7:08 p.m.