Package index
Forecast Comparison Tests
Pairwise and multivariate tests for comparing the predictive ability of forecasting methods.
-
dm_test() - Diebold-Mariano Test for Equal Predictive Ability
-
cw_test() - Clark-West Test for Predictive Ability of Nested Models
-
enc_new() - Clark-McCracken ENC-NEW Encompassing Test
-
mse_f_test() - McCracken MSE-F Test for Equal Forecast Accuracy
-
gw_test() - Conditional Equal Predictive Ability (CEPA) Test
Superior Predictive Ability
Tests for whether a benchmark method dominates all competitors, unconditionally, conditionally, or jointly across forecast horizons.
-
spa_test() - Unconditional Superior Predictive Ability (USPA/SPA) Test
-
cspa_test() - Conditional Superior Predictive Ability (CSPA) Test
-
csms() - Confidence Set for the Most Superior (CSMS) Forecasting Method
-
uspa_mh_test() - Uniform Multi-Horizon Superior Predictive Ability Test
-
aspa_mh_test() - Average Multi-Horizon Superior Predictive Ability Test
Predictive Regression & Instability
Tests for predictability with persistent regressors and parameter instability.
-
ivx_wald() - IVX-Wald Test for Predictive Regressions
-
qll_hat() - Elliott-Muller Test for Time-Varying Coefficients
-
cspa_test_plot() - Plot CSPA Test Results
-
do_sim() - Simulate Data from the CSPA Paper DGP
-
print(<cspa_test>) - Print Method for CSPA Test Results
-
summary(<cspa_test>) - Summary Method for CSPA Test Results
-
rossi2006 - Bilateral Nominal Exchange Rates (Rossi, 2006)
-
rz2013 - Equity Premium and Macro Predictors (Rapach & Zhou, 2013)
-
nrtz2014 - Equity Premium and Technical Indicators (Neely, Rapach, Tu, & Zhou, 2014)
-
rrz2016 - Equity Premium and Short Interest Index (Rapach, Ringgenberg & Zhou, 2016)
-
cm2001 - US Unemployment and Inflation (Clark & McCracken, 2001 setup)
-
hl2005 - IBM Volatility Forecasts and Realized-Variance Proxies (Hansen & Lunde, 2005)
-
gw2006 - SPF Mean CPI Inflation Forecasts (Giacomini & White, 2006 setup)
-
wg2008 - Welch & Goyal (2008) Annual Equity-Premium Dataset
-
quaedvlieg2021 - Loss-Differential Path Forecasts from Quaedvlieg (2021)
-
llq2022 - S&P 500 Realized-Variance Forecasts (Li, Liao & Quaedvlieg, 2022)
-
llq2022_jnj - Johnson & Johnson Realized-Variance Forecasts (Li, Liao & Quaedvlieg, 2022)
-
llq2022_uv_cspa - Pairwise CSPA Rejection Counts Across 28 Stocks