Multi-Horizon Uniform Superior Predictive Ability Revisited
重新考察多预测期的一致优越预测能力检验
This paper 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…