In lucabarbaglia/MultiHorizonSPA: Multi Horizon Superior Predictive Ability

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The MultiHorizonSPA package allows R users to run the Multi Horizon Superior Predictive Ability (SPA) test proposed by Quaedvlieg (2021): compare the predictive performance of two distinct models when jointly considering all horizons of a forecast path.

Installation

You can install MultiHorizonSPA from CRAN as follows:

install.packages("MultiHorizonSPA")

or from GitHub:

install.packages("devtools")
devtools::install_github("lucabarbaglia/MultiHorizonSPA")

A start-up example

Test for uniform SPA (uSPA).

library(MultiHorizonSPA)
data(LossDiff_uSPA)
Test_uSPA(LossDiff=LossDiff_uSPA, L=3)

The output of the Test_uSPA function is a list containing two objects:

• p-value: the p-value for uSPA;

• t_uSPA: the statistics for uSPA;

Now test for average SPA (aSPA).

library(MultiHorizonSPA)
data(LossDiff_aSPA)
weights <- t(as.matrix(rep(1, ncol(LossDiff_aSPA))/ncol(LossDiff_aSPA)))
Test_aSPA(LossDiff=LossDiff_aSPA, weights=weights, L=3)

The output of the Test_aSPA function is a list containing two objects:

• p-value: the p-value for aSPA;

• t_aSPA: the statistics for aSPA.

References:

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

lucabarbaglia/MultiHorizonSPA documentation built on Dec. 12, 2021, 5:43 a.m.