Package: EncompassTest 0.22

Rong Peng

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.

Authors:Rong Peng [aut, cre]

EncompassTest_0.22.tar.gz
EncompassTest_0.22.tar.gz(r-4.5-noble)EncompassTest_0.22.tar.gz(r-4.4-noble)
EncompassTest_0.22.tgz(r-4.4-emscripten)EncompassTest_0.22.tgz(r-4.3-emscripten)
EncompassTest.pdf |EncompassTest.html
EncompassTest/json (API)

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

Peer review:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.00 score 169 downloads 4 exports 1 dependencies

Last updated 9 months agofrom:24a457ffb9. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 16 2024
R-4.5-linuxOKNov 16 2024

Exports:andrews_lrvNW_lrvpred_encompass_dnormrecursive_hstep_fast

Dependencies:pracma