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dchange

Test for directional accuracy

CALLING SEQUENCE

rdb = dchange(y,yb,prt)

PARAMETERS

Input

* y = vector or ts of observable or benchmark serie

* yb = vector or ts of competiting or forecast serie

* prt = %f if the user does not want to print the results (optional)

 

Output

* rdb = a results tlist with

  - rchange('meth') = 'direct. change'

  - rchange('y') = benchmark or observable serie s

  - rchange('yc') = competiting serie or forecasted series

  - rchange('namey') = name of benchmark or observable series

  - rchange('nameyc') = name of competiting series or forecasted series

  - rchange('P') = proportion of time the sign of the observable value is correctly forecasted

  - rchange('Pstar') = concordance index

  - rchange('pvalue')= pvalue of the statistic

DESCRIPTION

A function that computes Pesaran and Timmerman nonparametric test for directional accuracy.

EXAMPLE

load(GROCERDIR+'\data\BusinessSurvey.dat');
 
// performs first differences
dpp = delts(pp);
dpf =delts(fp);
bounds()
rd = dchange('dpp','lagts(3,dpf)');
// Example taken from function dchange(): tests in french business survey if changes in
// "level of future own production" are a good predictor of that of "level of past own production".

AUTHOR

Emmanuel Michaux 2005

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