Initial release. Provides a unified toolkit for out-of-sample forecast dominance testing.
dm_test() — Diebold-Mariano (with Harvey, Leybourne,
and Newbold
cw_test() — Clark and West (2007) MSFE-adjusted
statistic.mse_f_test() — McCracken (2007) MSE-F equal-MSFE
statistic for nested out-of-sample comparison.enc_new() — ENC-NEW encompassing test of Clark and
McCracken (2001).gw_test() — Giacomini and White (2006) conditional
equal predictive ability test.spa_test() — Hansen (2005) test for superior predictive
ability.cspa_test() — Li, Liao, and Quaedvlieg (2022) test for
conditional superior predictive ability, with the accompanying
cspa_test_plot() visualisation and csms()
confidence set for the most superior method.uspa_mh_test() and aspa_mh_test() —
uniform and average multi-horizon SPA tests of Quaedvlieg (2021),
implemented with a moving-block bootstrap.ivx_wald() — Kostakis, Magdalinos, and Stamatogiannis
(2015) IVX-Wald statistic for predictive regressions with persistent
regressors.qll_hat() — Elliott and Muller (2006) qLL statistic for
testing parameter time variation.Bundled cm2001, hl2005,
gw2006, wg2008, quaedvlieg2021,
llq2022, llq2022_jnj,
llq2022_uv_cspa, nrtz2014,
rossi2006, rrz2016, and rz2013
datasets used by the replication vignettes.