Tools for (Un)Conditional Forecast Dominance

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Documentation for package ‘forecastdom’ version 0.1.0

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aspa_mh_test Average Multi-Horizon Superior Predictive Ability Test
cm2001 US Unemployment and Inflation (Clark & McCracken, 2001 setup)
csms Confidence Set for the Most Superior (CSMS) Forecasting Method
cspa_test Conditional Superior Predictive Ability (CSPA) Test
cspa_test_plot Plot CSPA Test Results
cw_test Clark-West Test for Predictive Ability of Nested Models
dm_test Diebold-Mariano Test for Equal Predictive Ability
do_sim Simulate Data from the CSPA Paper DGP
enc_new Clark-McCracken ENC-NEW Encompassing Test
gw2006 SPF Mean CPI Inflation Forecasts (Giacomini & White, 2006 setup)
gw_test Conditional Equal Predictive Ability (CEPA) Test
hl2005 IBM Volatility Forecasts and Realized-Variance Proxies (Hansen & Lunde, 2005)
ivx_wald IVX-Wald Test for Predictive Regressions
llq2022 S&P 500 Realized-Variance Forecasts (Li, Liao & Quaedvlieg, 2022)
llq2022_jnj Johnson & Johnson Realized-Variance Forecasts (Li, Liao & Quaedvlieg, 2022)
llq2022_uv_cspa Pairwise CSPA Rejection Counts Across 28 Stocks
mse_f_test McCracken MSE-F Test for Equal Forecast Accuracy
nrtz2014 Equity Premium and Technical Indicators (Neely, Rapach, Tu, & Zhou, 2014)
print.cspa_test Print Method for CSPA Test Results
qll_hat Elliott-Muller Test for Time-Varying Coefficients
quaedvlieg2021 Loss-Differential Path Forecasts from Quaedvlieg (2021)
rossi2006 Bilateral Nominal Exchange Rates (Rossi, 2006)
rrz2016 Equity Premium and Short Interest Index (Rapach, Ringgenberg & Zhou, 2016)
rz2013 Equity Premium and Macro Predictors (Rapach & Zhou, 2013)
spa_test Unconditional Superior Predictive Ability (USPA/SPA) Test
summary.cspa_test Summary Method for CSPA Test Results
uspa_mh_test Uniform Multi-Horizon Superior Predictive Ability Test
wg2008 Welch & Goyal (2008) Annual Equity-Premium Dataset