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The function forAD() implements the adaptive forecasting procedure of Giraitis, Kapetanios and Price (2013) <doi:10.1016/j.jeconom.2013.04.003>. The method can be iterated (e.g., adapt²) and combined with autoregressive (AR) forecasting. These approaches are computationally simple and adapt automatically to structural changes without requiring prior specification of the underlying data-generating process. They are applicable to both stationary and non-stationary time series. The numerical and graphical outputs assist in selecting an appropriate forecasting method, particularly one that minimises mean squared forecast error (MSFE) and yields uncorrelated forecast errors.
| Version: | 0.1.0 |
| Imports: | stats, graphics, lubridate, grDevices, knitr, testcorr, xts, zoo |
| Suggests: | testthat |
| Published: | 2026-05-08 |
| DOI: | 10.32614/CRAN.package.forecastADAPT |
| Author: | Violetta Dalla [aut, cre], Liudas Giraitis [aut], George Kapetanios [aut] |
| Maintainer: | Violetta Dalla <vidalla at econ.uoa.gr> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| CRAN checks: | forecastADAPT results |
| Reference manual: | forecastADAPT.html , forecastADAPT.pdf |
| Vignettes: |
The forectADAPT Package (source) |
| Package source: | forecastADAPT_0.1.0.tar.gz |
| Windows binaries: | r-devel: forecastADAPT_0.1.0.zip, r-release: forecastADAPT_0.1.0.zip, r-oldrel: forecastADAPT_0.1.0.zip |
| macOS binaries: | r-release (arm64): forecastADAPT_0.1.0.tgz, r-oldrel (arm64): forecastADAPT_0.1.0.tgz, r-release (x86_64): forecastADAPT_0.1.0.tgz, r-oldrel (x86_64): forecastADAPT_0.1.0.tgz |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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