[R-SIG-Finance] : Comparing Forcasts

[Eric Zivot]

The easiest test of predictive accuracy is the Diebold-Mariano test (see
http://faculty.washington.edu/ezivot/econ584/dieboldMariano.pdf and
http://faculty.washington.edu/ezivot/econ582/econ512forecastevaluationSlides
.pdf ). This can be implemented via simple regression with a standard error
correction for serial correlation (e.g. Newey-West std errors). This theory
for this test is based on known coefficients in your forecasting models and
non-nested models. There have been many improvements to this test over the
years. See the many papers by Todd E. Clark and Michael McCracken and Ken
West. The tests implemented in the ttrTests are in the class of predictive
accuracy tests.


Eric Zivot                  			               
Robert Richards Chaired Professor of Economics and Director of Outreach
Adjunct Professor of Finance                            
Adjunct Professor of Statistics
Adjunct Professor of Applied Mathematics 
Department of Economics
Box 353330                  email:  ezivot at u.washington.edu 
University of Washington    phone:  206-543-6715            
Seattle, WA 98195-3330
www:  http://faculty.washington.edu/ezivot                  



-----Original Message-----
From: r-sig-finance-bounces at r-project.org
[mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Zachary Mayer
Sent: Friday, January 20, 2012 5:15 AM
To: Papa Senyo
Cc: r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] : Comparing Forcasts

Hi Papa,

I've never used an SPA test, so I don't know if it's implemented in R.
 Could you point to an article describing it, or an implementation in
another language?  One idea would be to compare the MAE of your forecast to
the MAE of a naive forecast (where each value in a time-series is predicted
to be the same as the previous value).

Whatever you do, it's probably a good idea to make your comparisons
out-of-sample, and an even better idea to cross-validate.  You can find
some example code for time series cross-validation here and here:
http://robjhyndman.com/researchtips/tscvexample/
http://moderntoolmaking.blogspot.com/2011/12/time-series-cross-validation-3.
html

-Zach

On Fri, Jan 20, 2012 at 5:21 AM, Papa Senyo <papa.senyo at yahoo.it> wrote:

>
>
>
>
> Dear all,
> Please, I would like to know if the test for superior predictive
> ability(SPA) is implemented in R
>
> Also how can we get the forecast of volatility of return series. Just an
> information, the SPA compares different forecast and the select the best
> performance measure. Can this be done using rugarch as it only reports
MSE,
> MAE, DAC,
> I hope to hearing from you all.
> Kind regards
> Papa
>        [[alternative HTML version deleted]]
>
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