Package: ForeComp 0.9.0

ForeComp: Size-Power Tradeoff Visualization for Equal Predictive Ability of Two Forecasts

Offers a set of tools for visualizing and analyzing size and power properties of the test for equal predictive accuracy, the Diebold-Mariano test that is based on heteroskedasticity and autocorrelation-robust (HAR) inference. A typical HAR inference is involved with non-parametric estimation of the long-run variance, and one of its tuning parameters, the truncation parameter, trades off a size and power. Lazarus, Lewis, and Stock (2021)<doi:10.3982/ECTA15404> theoretically characterize the size-power frontier for the Gaussian multivariate location model. 'ForeComp' computes and visualizes the finite-sample size-power frontier of the Diebold-Mariano test based on fixed-b asymptotics together with the Bartlett kernel. To compute the finite-sample size and power, it works with the best approximating ARMA process to the given dataset. It informs the user how their choice of the truncation parameter performs and how robust the testing outcomes are.

Authors:Nathan Schor [aut], Minchul Shin [aut, cre, cph]

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ForeComp.pdf |ForeComp.html
ForeComp/json (API)
NEWS

# Install 'ForeComp' in R:
install.packages('ForeComp', repos = c('https://mcmcs.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/mcmcs/forecomp/issues

Datasets:
  • PGDP - Price Index for Gross National Product/Gross Domestic Product
  • RGDP - Real Gross National Product/Gross Domestic Product
  • TBILL - 3-Month Treasury Bill Rate
  • UNEMP - Civilian Unemployment Rate

On CRAN:

2.70 score 1 scripts 167 downloads 1 exports 46 dependencies

Last updated 6 months agofrom:1396186a02. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 02 2024
R-4.5-winOKNov 02 2024
R-4.5-linuxOKNov 02 2024
R-4.4-winOKNov 02 2024
R-4.4-macOKNov 02 2024
R-4.3-winOKNov 02 2024
R-4.3-macOKNov 02 2024

Exports:Plot_Tradeoff

Dependencies:astsaclicolorspacecurlfansifarverforecastfracdiffgenericsggplot2gluegtableisobandjsonlitelabelinglatticelifecyclelmtestmagrittrMASSMatrixmgcvmunsellnlmennetpillarpkgconfigquadprogquantmodR6RColorBrewerRcppRcppArmadillorlangscalestibbletimeDatetseriesTTRurcautf8vctrsviridisLitewithrxtszoo