Test_uSPA: Test uniform Superior Predictive Ability

In lucabarbaglia/MultiHorizonSPA: Multi Horizon Superior Predictive Ability

Description

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

Usage

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

## Test for uSPA

Trow <- 200 
H <- 12
Mmethods <- 5
Losses <- matrix(rnorm(Trow*H, mean = 0), nrow = Trow, ncol = H)

Test_uSPA(LossDiff=Losses, L=3, B=5)

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