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>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.0 |
rolling linux/jammy R-4.5 | forecastdom_0.1.0.tar.gz |
2.1 MiB |
0.1.0 |
rolling linux/noble R-4.5 | forecastdom_0.1.0.tar.gz |
2.1 MiB |
0.1.0 |
rolling source/ R- | forecastdom_0.1.0.tar.gz |
1.7 MiB |
0.1.0 |
latest linux/jammy R-4.5 | forecastdom_0.1.0.tar.gz |
2.1 MiB |
0.1.0 |
latest linux/noble R-4.5 | forecastdom_0.1.0.tar.gz |
2.1 MiB |
0.1.0 |
latest source/ R- | forecastdom_0.1.0.tar.gz |
1.7 MiB |
0.1.0 |
2026-04-23 source/ R- | forecastdom_0.1.0.tar.gz |
0 B |