EncompassTest: Direct Multi-Step Forecast Based Comparison of Nested Models via an Encompassing Test

The encompassing test is developed based on multi-step-ahead predictions of two nested models as in Pitarakis, J. (2023) <doi:10.48550/arXiv.2312.16099>. The statistics are standardised to a normal distribution, and the null hypothesis is that the larger model contains no additional useful information. P-values will be provided in the output.

Version: 0.22
Imports: pracma, stats
Published: 2024-02-19
Author: Rong Peng [aut, cre]
Maintainer: Rong Peng <r.peng at soton.ac.uk>
License: GPL (≥ 3)
NeedsCompilation: no
CRAN checks: EncompassTest results

Documentation:

Reference manual: EncompassTest.pdf

Downloads:

Package source: EncompassTest_0.22.tar.gz
Windows binaries: r-prerel: EncompassTest_0.22.zip, r-release: EncompassTest_0.22.zip, r-oldrel: EncompassTest_0.22.zip
macOS binaries: r-prerel (arm64): EncompassTest_0.22.tgz, r-release (arm64): EncompassTest_0.22.tgz, r-oldrel (arm64): EncompassTest_0.22.tgz, r-prerel (x86_64): EncompassTest_0.22.tgz, r-release (x86_64): EncompassTest_0.22.tgz

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