<p>The <a href="https://arxiv.org/pdf/1410.8504.pdf" rel="nofollow noreferrer">Model Confidence Set</a> package tests multiple models for superior predictive ability. </p>

<pre><code>install.packages("MCS")
library(MCS)
data(Loss)
MCS &lt;- MCSprocedure(Loss=Loss[,1:5],alpha=0.2,B=5000,statistic='Tmax',cl=NULL)
</code></pre>

<p>...and the output:</p>

<pre><code>&gt; MCS &lt;- MCSprocedure(Loss=Loss[,1:5],alpha=0.2,B=5000,statistic='Tmax',cl=NULL)

###########################################################################################################################
Superior Set Model created  :
             Rank_M        v_M  MCS_M Rank_R         v_R  MCS_R         Loss
sGARCH-norm       4  0.8201805 0.6034      4  1.43408052 0.3576 0.0004042581
sGARCH-std        5  0.9649670 0.5008      5  3.22834167 0.0058 0.0004010655
sGARCH-ged        1 -1.3942903 1.0000      3  0.21893448 0.9940 0.0003986329
sGARCH-snorm      2 -1.3101987 1.0000      2  0.08452883 0.9998 0.0003982803
sGARCH-sstd       3 -0.4739630 1.0000      1 -0.08452883 1.0000 0.0003977886
p-value :
[1] 0.5008

###########################################################################################################################
&gt; 
</code></pre>
Use superior predictive ability (SPA) test in R
<p>Does anynoe know hot to use the SPA test in R/Matlab or other software; it is a statistical method to evaluate models. I knew that there is a R package called "ttrTests"  has a relevant SPA function, but it looks like suitable for comparing portfolio strategies, rather than comparing general models in terms of some loss function. Can someone tell me other source or how to prepare the data suitable for the "ttrTests" package.</p>