dac_test: Directional Accuracy Tests

In tstests: Time Series Goodness of Fit and Forecast Evaluation Tests

Directional Accuracy Tests

Description

The directional accuracy test of Pesaran and Timmermann (1992), and excess profitability test of Anatolyev and Gerko (2005).

Usage

dac_test(actual, forecast, ...)

Arguments

actual	a series representing the actual value of the series in the out of sample period.
forecast	the forecast values of the series in the out of sample period.
...	not currently used.

Details

The null hypothesis for the test of Pesaran and Timmermann (1992) is that the actual and predicted are independent (no sign predictability), whereas the test of Anatolyev and Gerko (2005) measures the significance of the excess profitability under the null hypothesis of no excess excess profitability. Both are Hausman type tests asymptotically distributed as standard Normal.

Value

An object of class “tstest.dac” which has a print and as_flextable method.

Note

The test will not work with constant forecasts.

References

\insertRef

Pesaran1992tstests

\insertRef

Anatolyev2005tstests

Examples

data(arma_forecast)
print(dac_test(arma_forecast$actual, arma_forecast$forecast))

tstests documentation built on Oct. 30, 2024, 9:28 a.m.