Reality Check and SPA tests

[Dmitry Ilin]

Dear Statalist,

I am wondering whether there are any user written commands for performing Reality Check (White 2000) and Superior Predictive Ability test (Hansen 2001)? So far I didnt find anything. Will be grateful for any hints.

Best,
Dmitry

[Phil Clayton]

I would start with section 13 of the Statalist FAQ

[Dmitry Ilin]

Here is the link to White`s paper: White, H. (2000). A reality check for data snooping. Econometrica, 68(5), 1097-1126.
http://www.ssc.wisc.edu/~bhansen/718/White2000.pdf

Here is Hansen`s paper: Hansen, P. R. (2001). An unbiased and powerful test for superior predictive ability (No. 2001-06).
http://www-siepr.stanford.edu/workp/swp05003.pdf

I am using Stata 13.1.

[Fish Sun]

Dear Dmitry,

I have met the same problem.Did you get the commandsof performing Reality Check (White 2000) and Superior Predictive Ability test. If so, can you give me some help or advice?
Thanks alot for using your time! Fish.

[Arthur Morris]

MatLab and R appear to have options for this. The post on how to do the check in R seems to have enough information for someone interested in writing their own function to take a crack, though it doesn't appear that anyone has done that in Stata yet.