Hi,

Does anyone know is it possible to use the SPA test in gretl? Diebold-Mariano (DM), Giacomini-White (GW) etc. tests are available, but as far as I know, the SPA test (relatively new and more popular) is not available. Is there any chance to apply that test with codes in gretl?

Hi, that depends what you mean by "possible". There is no existing implementation that I am aware of. But it certainly is possible to program it in gretl/hansl.

But, speaking as a co-author of the FEP package, I quite like the model confidence set (MCS) approach, also by PR Hansen (and others). We do not have that, either, but what makes you think that SPA is more popular? And BTW, I don't think it is more popular than DM, so I guess you mean by comparison with GW - do you have evidence for that statement? (It's an honest question.)

cheers

sven