| dac_test {tstests} | R Documentation |
Directional Accuracy Tests
Description
The directional accuracy test of Pesaran and Timmermann (1992), and excess profitability test of Anatolyev and Gerko (2005).
Usage
dac_test(actual, forecast, ...)
Arguments
actual |
a series representing the actual value of the series in the out of sample period. |
forecast |
the forecast values of the series in the out of sample period. |
... |
not currently used. |
Details
The null hypothesis for the test of Pesaran and Timmermann (1992) is that the actual and predicted are independent (no sign predictability), whereas the test of Anatolyev and Gerko (2005) measures the significance of the excess profitability under the null hypothesis of no excess excess profitability. Both are Hausman type tests asymptotically distributed as standard Normal.
Value
An object of class “tstest.dac” which has a print and as_flextable method.
Note
The test will not work with constant forecasts.
References
Pesaran,M.H., Timmermann,A. (1992). “A simple nonparametric test of predictive performance.” Journal of Business & Economic Statistics, 10(4), 461–465.
Anatolyev,S., Gerko,A. (2005). “A trading approach to testing for predictability.” Journal of Business & Economic Statistics, 23(4), 455–461.
Examples
data(arma_forecast)
print(dac_test(arma_forecast$actual, arma_forecast$forecast))