DACTest: Directional Accuracy Test
Description
Implements the Directional Accuracy Test of Pesaran and Timmerman and Excess
Profitability Test of Anatolyev and Gerko.Usage
DACTest(forecast, actual, test = c("PT", "AG"), conf.level = 0.95)Arguments
forecast
A numeric vector of the forecasted values.
actual
A numeric vector of the actual (realized) values.
test
Choice of Pesaran and Timmermann (PT) or Anatolyev and Gerko (AG)
tests.
conf.level
The confidence level at which the Null Hypothesis is evaluated.
Value
- A list with the following items:
- TestThe type of test performed.
- StatThe test statistic.
- p-valueThe p-value of the test statistic.
- H0The Null Hypothesis.
- DecisionWhether to reject or not the Null given the conf.level.
- DirAccThe directional accuracy of the forecast.
Details
See the references for details on the tests. The Null is effectively that of
independence, and distributed as N(0,1).References
Anatolyev, S. and Gerko, A. 2005, A trading approach to testing for
predictability, Journal of Business and Economic Statistics, 23(4),
455--461.
Pesaran, M.H. and Timmermann, A. 1992, A simple nonparametric test of predictive
performance, Journal of Business and Economic Statistics,
10(4), 461--465.