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Initial release. Provides a unified toolkit for out-of-sample forecast dominance testing.
dm_test() — Diebold-Mariano (with Harvey, Leybourne,
and Newbold
cw_test() — Clark and West (2007) MSFE-adjusted
statistic.mse_f_test() — McCracken (2007) MSE-F equal-MSFE
statistic for nested out-of-sample comparison.enc_new() — ENC-NEW encompassing test of Clark and
McCracken (2001).gw_test() — Giacomini and White (2006) conditional
equal predictive ability test.spa_test() — Hansen (2005) test for superior predictive
ability.cspa_test() — Li, Liao, and Quaedvlieg (2022) test for
conditional superior predictive ability, with the accompanying
cspa_test_plot() visualisation and csms()
confidence set for the most superior method.uspa_mh_test() and aspa_mh_test() —
uniform and average multi-horizon SPA tests of Quaedvlieg (2021),
implemented with a moving-block bootstrap.ivx_wald() — Kostakis, Magdalinos, and Stamatogiannis
(2015) IVX-Wald statistic for predictive regressions with persistent
regressors.qll_hat() — Elliott and Muller (2006) qLL statistic for
testing parameter time variation.Bundled cm2001, hl2005,
gw2006, wg2008, quaedvlieg2021,
llq2022, llq2022_jnj,
llq2022_uv_cspa, nrtz2014,
rossi2006, rrz2016, and rz2013
datasets used by the replication vignettes.
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.
Health stats visible at Monitor.