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EncompassTest (version 0.22)

Direct Multi-Step Forecast Based Comparison of Nested Models via an Encompassing Test

Description

The encompassing test is developed based on multi-step-ahead predictions of two nested models as in Pitarakis, J. (2023) . 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.

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Version

Install

install.packages('EncompassTest')

Monthly Downloads

118

Version

0.22

License

GPL (>= 3)

Maintainer

Rong Peng

Last Published

February 19th, 2024

Functions in EncompassTest (0.22)

NW_lrv

Long-run covariance estimation using Newey-West (Bartlett) weights
pred_encompass_dnorm

Direct Multi-Step Forecast Based Comparison of Nested Models via an Encompassing Test
recursive_hstep_fast

Forecasting h-steps ahead using Recursive Least Squares Fast
andrews_lrv

Long-run covariance estimation using Andrews quadratic spectral kernel.