手法を比較

	ペサラン・ティンマーマンの方向性予測精度検定	符号検定 (Sign Test)
分野	計量経済学	統計学
系統	Hypothesis test	Hypothesis test
提唱年	1992	1946
提唱者	M. Hashem Pesaran & Allan Timmermann	W. J. Dixon & A. M. Mood
種類	Nonparametric one-sided test	Nonparametric median test
原典	Pesaran, M. H., & Timmermann, A. (1992). A simple nonparametric test of predictive performance. Journal of Business & Economic Statistics, 10(4), 461–465.	Dixon, W. J. & Mood, A. M. (1946). The statistical sign test. Journal of the American Statistical Association, 41(236), 557–566.
別名	PT Test, Directional Accuracy Test, Nonparametric Predictive Performance Test, Pesaran-Timmermann Yön Testi	İşaret Testi (Sign Test), one-sample sign test, paired sign test
関連	3	4
概要	Introduced by Pesaran and Timmermann (1992), the PT test is a nonparametric procedure that evaluates whether a forecasting model correctly predicts the direction (sign) of a target variable more often than would be expected by chance. It is widely used in financial econometrics and macroeconomic forecasting to assess the practical utility of a model beyond simple error metrics, particularly when the economic cost of getting the direction wrong is high.	The sign test is the simplest nonparametric hypothesis test for deciding whether the median of paired differences — or of a single sample — differs significantly from a hypothesised value. Formalised by W. J. Dixon and A. M. Mood in 1946, it imposes virtually no distributional assumptions and can be applied to any data where individual differences can be classified as positive or negative.