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forecastdom: Tools for (Un)Conditional Forecast Dominance

A unified toolkit for out-of-sample forecast dominance testing. Covers unconditional and conditional equal and superior predictive ability, encompassing, and nested-model comparison. Implements the Diebold-Mariano test with the Harvey, Leybourne, and Newbold (1997) <doi:10.1016/S0169-2070(96)00719-4> small-sample correction; the Clark-West MSFE-adjusted statistic (Clark and West, 2007) <doi:10.1016/j.jeconom.2006.05.023>; the ENC-NEW encompassing test of Clark and McCracken (2001) <doi:10.1016/S0304-4076(01)00071-9>; the Giacomini-White conditional equal predictive ability test (Giacomini and White, 2006) <doi:10.1111/j.1468-0262.2006.00718.x>; Hansen's superior predictive ability test (Hansen, 2005) <doi:10.1198/073500105000000063>; the conditional superior predictive ability test of Li, Liao, and Quaedvlieg (2022) <doi:10.1093/restud/rdab039>; and the uniform and average multi-horizon SPA tests of Quaedvlieg (2021) <doi:10.1080/07350015.2019.1620074>.

Version: 0.1.0
Depends: R (≥ 3.5)
Imports: MASS, Rcpp, stats, ggplot2
LinkingTo: Rcpp
Suggests: knitr, R.matlab, rmarkdown, testthat (≥ 3.0.0)
Published: 2026-07-24
DOI: 10.32614/CRAN.package.forecastdom (may not be active yet)
Author: Gabriel Cabrera ORCID iD [aut, cre]
Maintainer: Gabriel Cabrera <gabriel.cabrera.guz at gmail.com>
BugReports: https://github.com/gabbocg/forecastdom/issues
License: MIT + file LICENSE
URL: https://gabbocg.github.io/forecastdom/, https://github.com/gabbocg/forecastdom
NeedsCompilation: yes
Language: en-GB
Materials: README, NEWS
CRAN checks: forecastdom results

Documentation:

Reference manual: forecastdom.html , forecastdom.pdf
Vignettes: Replicating Clark & McCracken (2001) (source, R code)
Get Started with forecastdom (source, R code)
Replicating Giacomini & White (2006) (source, R code)
Replicating Hansen & Lunde (2005) (source, R code)
Replicating Li et al. (2022) (source, R code)
Replicating Neely et al. (2014) (source, R code)
Replicating Quaedvlieg (2021) (source, R code)
Replicating Rossi (2006) (source, R code)
Replicating Rapach et al. (2016) (source, R code)
Replicating Rapach & Zhou (2013) (source, R code)
Replicating Welch & Goyal (2008) (source, R code)

Downloads:

Package source: forecastdom_0.1.0.tar.gz
Windows binaries: r-devel: not available, r-release: not available, r-oldrel: not available
macOS binaries: r-release (arm64): not available, r-oldrel (arm64): not available, r-release (x86_64): not available, r-oldrel (x86_64): not available

Linking:

Please use the canonical form https://CRAN.R-project.org/package=forecastdom to link to this page.

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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