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 GitHub as follows:

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)
#> $p_value
#> [1] 0.002002002
#> 
#> $t_uSPA
#> [1] 0.0804403

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)
#> $p_value
#> [1] 0.001001001
#> 
#> $t_aSPA
#> [1] 2.439664

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.