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pretest (version 0.2)

A Novel Approach to Predictive Accuracy Testing in Nested Environments

Description

This repository contains the codes for using the predictive accuracy comparison tests developed in Pitarakis, J. (2023) .

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Version

Install

install.packages('pretest')

Monthly Downloads

174

Version

0.2

License

GPL-3

Maintainer

Rong Peng

Last Published

October 19th, 2023

Functions in pretest (0.2)

dm_cw

Diebold-Mariano Test and Clark & West Test
lr_var

Heteroskedastic Long run variance
recursive_hstep_fast

Forecasting h-steps ahead using Recursive Least Squares Fast
Nested_Stats_Sbar

Predictive Accuracy Testing for Nested Environment SBar
recursive_hstep_slow

Forecasting h-steps ahead using Recursive Least Squares Slow
Nested_Stats_S0

Predictive Accuracy Testing for Nested Environment S^0