[R-sig-Finance] tests for superior predictive ability?

[Spencer Graves]

	  RSiteSearch("white reality check") produced one irrelevant hit, and 
RSiteSearch("superior predictive ability") returned 0 hits.  If you have 
not received replies to the contrary from anyone else, I would assume 
that they are not part of any contributed package.

	  What do the authors say about the availability of software to perform 
those tests?  I'm not familiar with those articles, but I'd be surprised 
if either were very difficult to program in R.  If the authors offered 
free distribution of compiled code of some kind, it shouldn't be too 
difficult to link it to R.  They should be compiled with a compiler 
compatible with R, and you need to know the internal names [case 
sensitive], etc.  I don't do much of that, but others do, so if you try 
that and can't get it to work, you might find help on this listserve.

	  This doesn't solve your problem, but I hope it helps.
	  Spencer Graves

Monty B. wrote:
> Dear list,
> 
> Does anyone know of an implementation of either
> - reality check (RC) of White 2000 (Econometrica)
> - superior predictive ability (SPA) of Hansen 2005  (J of Bus and Ec
> Statistics)
> 
> in R or S-plus?
> 
> Cheers,
> 
> Monty
> 
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> 
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