EncompassTest
Direct Multi-Step Forecast Based Comparison of Nested Models via an Encompassing Test
The encompassing test is developed based on multi-step-ahead predictions of two nested models as in Pitarakis, J. (2023) <doi:10.48550/arXiv.2312.16099>. The statistics are standardised to a normal distribution, and the null hypothesis is that the larger model contains no additional useful information. P-values will be provided in the output.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.22 |
rolling source/ R- | EncompassTest_0.22.tar.gz |
5.3 KiB |
0.22 |
latest source/ R- | EncompassTest_0.22.tar.gz |
5.3 KiB |
0.22 |
2026-04-09 windows/windows R-4.5 | EncompassTest_0.22.zip |
32.4 KiB |