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tstests (version 1.0.0)

Time Series Goodness of Fit and Forecast Evaluation Tests

Description

Goodness of Fit and Forecast Evaluation Tests for timeseries models. Includes, among others, the Generalized Method of Moments (GMM) Orthogonality Test of Hansen (1982), the Nyblom (1989) parameter constancy test, the sign-bias test of Engle and Ng (1993), and a range of tests for value at risk and expected shortfall evaluation.

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Install

install.packages('tstests')

Monthly Downloads

610

Version

1.0.0

License

GPL-2

Issues

0

Pull Requests

0

Stars

5

Forks

1

Maintainer

Alexios Ghalanos

Last Published

May 15th, 2024

Functions in tstests (1.0.0)

nyblom_test

Nyblom-Hansen Parameter Constancy Test
dac_test

Directional Accuracy Tests
gmm_test

GMM Orthogonality Test
as_flextable.tstest.berkowitz

Transform a summary object into flextable
hongli_test

The Non-Parametric Density Test of Hong and Li
minzar_test

Mincer-Zarnowitz Test
print.tstest.berkowitz

Test Print method
berkowitz_test

Berkowitz Forecast Density Test
arma_forecast

Sample ARMA Forecast Data
garch_forecast

Sample GARCH Forecast Data
var_cp_test

Value at Risk CP Test
var_test

Value at Risk and Expected Shortfall Tests
signbias_test

Sign Bias Test
shortfall_de_test

Expected Shortfall DE Test
spy

SPY ETF Adjusted Close
tstests-package

tstests: Time Series Goodness of Fit and Forecast Evaluation Tests