Multi-Horizon Uniform Superior Predictive Ability Revisited

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Authors: Verena Monschang, Mark Matthias Trede, Bernd Wilfling
Cited by: 0

Abstract

This article examines the joint-hypothesis-testing problem that arises when comparing two competing forecast methods across multiple horizons. We focus on the concept of uniform Superior Predictive Ability (uSPA) and investigate the asymptotic properties of the corresponding test statistic. Under standard regularity conditions, the asymptotic distribution under the null hypothesis is derived, ensuring that the test maintains the correct size and exhibits consistency. Monte Carlo simulations are used to assess the test’s finite-sample performance. An empirical application replicates and extends earlier studies, providing inference for multi-horizon comparisons between direct and iterative forecasting approaches.

Fields of Study & Subjects

Forecasting Techniques and Applications Monetary Policy and Economic Impact Statistical Methods and Inference

Publication details

Journal / source
Figshare
Publication date
14 January 2026