Conditional evaluation of predictive models: The cspa command

Jia Li (), Zhipeng Liao (), Rogier Quaedvlieg and Wenyu Zhou ()
Additional contact information
Jia Li: Singapore Management University
Zhipeng Liao: University of California–Los Angeles
Wenyu Zhou: Zhejiang University

Stata Journal, 2022, vol. 22, issue 4, 924-940

Abstract: In this article, we introduce a new command, cspa, that implements the conditional superior predictive ability test developed in Li, Liao, and Quaed- vlieg (2022, Review of Economic Studies 89: 843–875). With the conditional per- formance of predictive methods measured nonparametrically by the conditional expectation functions of their predictive losses, we test the null hypothesis that a benchmark model weakly outperforms a collection of competitors uniformly across the conditioning space. The proposed command can implement this test for both independent cross-sectional data and serially dependent time-series data. Confi- dence sets for the most superior model can be obtained by inverting the test, for which the cspa command also offers a convenient implementation.

Keywords: cspa; conditional moment inequality; forecast evaluation; functional inference; series estimation (search for similar items in EconPapers)
Date: 2022
Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj22-4/st0696/
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.stata-journal.com/article.html?article=st0696 link to article purchase

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tsj:stataj:v:22:y:2022:i:4:p:924-940

Ordering information: This journal article can be ordered from
http://www.stata-journal.com/subscription.html

DOI: 10.1177/1536867X221141014

Access Statistics for this article

Stata Journal is currently edited by Nicholas J. Cox and Stephen P. Jenkins

More articles in Stata Journal from StataCorp LLC
Bibliographic data for series maintained by Christopher F. Baum () and Lisa Gilmore ().