MultiHorizonSPA (version 1.0.0)

Test_uSPA: Test uniform 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

References

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

See Also

Test_aSPA

Examples

# NOT RUN {
## Test for uSPA
data(LossDiff_uSPA)
Test_uSPA(LossDiff=LossDiff_uSPA, L=3, B=10)

# }