minzar_test

The forecast unbiasedness test of Mincer and Zarnowitz (1969).

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.

Alexios Ghalanos

tstests

Time Series Goodness of Fit and Forecast Evaluation Tests

Alexios Galanos

minzar_test function

<dl><dt>actual</dt>
<dd>a vector representing the actual values of a series.</dd>
<dt>forecast</dt>
<dd>a vector representing the forecasted values of the series.</dd>
<dt>...</dt>
<dd>additional arguments passed to <code><a href="/link/linearHypothesis?package=tstests&version=1.0.0" data-mini-rdoc="tstests::linearHypothesis">linearHypothesis</a></code>,
except the &#8220;test&#8221; argument which is fixed to Chisq.</dd></dl>

Arguments

Mincer-Zarnowitz Test — minzar_test

<dl>

<dt>actual</dt>
<dd>a vector representing the actual values of a series.</dd>


<dt>forecast</dt>
<dd>a vector representing the forecasted values of the series.</dd>


<dt>...</dt>
<dd>additional arguments passed to <code><a href='https://rdrr.io/pkg/car/man/linearHypothesis.html'>linearHypothesis</a></code>,
except the &#8220;test&#8221; argument which is fixed to Chisq.</dd>

</dl>

minzar_test: Mincer-Zarnowitz Test

Description

Usage

Value

Arguments

References

Examples