Tools for (Un)Conditional Forecast Dominance

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Documentation for package ‘forecastdom’ version 0.1.0

• DESCRIPTION file
• User guides, package vignettes and other documentation
• Package NEWS
• Package README

Help Pages

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