cpa_test

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Axis cpa_test on sub-layer L6_C_cpa (layer l6).

Sub-layer

L6_C_cpa

Axis metadata

  • Default: 'giacomini_rossi_2010'

  • Sweepable: False

  • Status: operational

Operational status summary

  • Operational: 3 option(s)

  • Future: 0 option(s)

Options

giacomini_rossi_2010 – operational

Giacomini-Rossi (2010) rolling-window fluctuation test.

Rolling-window analogue of the GW test that tracks the evolution of predictive ability over time. v0.25 ships the simulated-CV table for (m/T, alpha) pairs used to compute exact critical values.

When to use

Detecting whether predictive ability is stable across the OOS sample.

References

  • macroforecast design Part 3, L6: ‘tests must report (statistic, p-value, kernel, lag) and respect HAC dependence-correction.’

  • Giacomini & Rossi (2010) ‘Forecast Comparisons in Unstable Environments’, JAE 25(4): 595-620.

Related options: rossi_sekhposyan, multi

Last reviewed 2026-05-05 by macroforecast author.

rossi_sekhposyan – operational

Rossi-Sekhposyan (2011/2016) one-time / instabilities tests.

Companion suite of conditional predictive ability tests based on monitoring statistics over the OOS sample. Detects structural breaks in relative forecast performance.

When to use

Detecting one-off regime shifts in predictive ability.

References

  • macroforecast design Part 3, L6: ‘tests must report (statistic, p-value, kernel, lag) and respect HAC dependence-correction.’

  • Rossi & Sekhposyan (2016) ‘Forecast Rationality Tests in the Presence of Instabilities’, JAE 31(3): 507-532.

Related options: giacomini_rossi_2010

Last reviewed 2026-05-05 by macroforecast author.

multi – operational

Run all CPA tests and stack the results.

Multi-test convenience option; emits one row per CPA test.

Configures the cpa_test axis on L6_C_cpa (layer l6); the multi value is materialised in the recipe’s fixed_axes block under that sub-layer.

When to use

Comprehensive CPA audits. Selecting multi on l6.cpa_test activates this branch of the layer’s runtime.

References

  • macroforecast design Part 3, L6: ‘tests must report (statistic, p-value, kernel, lag) and respect HAC dependence-correction.’

Related options: giacomini_rossi_2010, rossi_sekhposyan

Last reviewed 2026-05-05 by macroforecast author.