tstests (version 1.0.0)

berkowitz_test: Berkowitz Forecast Density Test

Description

The forecast density test of Berkowitz (2001).

Usage

berkowitz_test(x, lags = 1, ...)

Value

An object of class “tstest.berkowitz” which has a print and as_flextable method.

Arguments

x

a series representing the PIT transformed actuals given the forecast values.

lags

the number of autoregressive lags (positive and greater than 0).

...

additional arguments passed to the arima function which estimates the unrestricted model.

References

Berkowitz2001tstests

Jarque1987tstests

Examples

library(tsdistributions)
data(garch_forecast)
x <- pdist('jsu', q = garch_forecast$actual, mu = garch_forecast$forecast,
sigma = garch_forecast$sigma, skew = garch_forecast$skew,
shape = garch_forecast$shape)
print(berkowitz_test(x))