dac_test function

Directional Accuracy Tests

The directional accuracy test of Pesaran and Timmermann (1992), and excess profitability test of Anatolyev and Gerko (2005).

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.

Returns

An object of class tstest.dac which has a print and as_flextable method.

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.

Note

The test will not work with constant forecasts.

Examples

data(arma_forecast)
print(dac_test(arma_forecast$actual, arma_forecast$forecast))

References

\insertRef Pesaran1992tstests

\insertRef Anatolyev2005tstests