| summary_stsc {hdflex} | R Documentation |
Statistical summary of the STSC-results
Description
'summary_stsc()' returns a statistical summary of the results from dsc(). It provides statistical measures such as Clark-West-Statistic, OOS-R2, Mean-Squared-Error and Cumulated Sum of Squared-Error-Differences.
Usage
summary_stsc(oos_y, oos_benchmark, oos_forecast_stsc)
Arguments
oos_y |
A matrix of dimension 'T * 1' or numeric vector of length 'T' containing the out-of-sample observations of the target variable. |
oos_benchmark |
A matrix of dimension 'T * 1' or numeric vector of length 'T' containing the out-of-sample forecasts of an arbitrary benchmark (i.e. prevailing historical mean). |
oos_forecast_stsc |
A matrix of dimension 'T * 1' or numeric vector of length 'T' containing the out-of-sample forecasts of dsc(). |
Value
List that contains: * (1) the Clark-West-Statistic, * (2) the Out-of-Sample R2, * (3) a vector with the CSSED between the STSC-Forecast and the benchmark and * (4) a list with the MSE of the STSC-Model and the benchmark.
Author(s)
Philipp Adämmer, Sven Lehmann, Rainer Schüssler
References
Clark, T. E. and West, K. D. (2007) "Approximately normal tests for equal predictive accuracy in nested models." Journal of Econometrics, 138 (1): 291–311.
See Also
https://github.com/lehmasve/hdflex#readme
Examples
# See example for tvc().