Package: PredictorSelect 0.1.0

Rong Peng

PredictorSelect: Out-of-Sample Predictability in Predictive Regressions with Many Predictor Candidates

Consider a linear predictive regression setting with a potentially large set of candidate predictors. This work is concerned with detecting the presence of out of sample predictability based on out of sample mean squared error comparisons given in Gonzalo and Pitarakis (2023) <doi:10.1016/j.ijforecast.2023.10.005>.

Authors:Rong Peng [aut, cre]

PredictorSelect_0.1.0.tar.gz
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PredictorSelect.pdf |PredictorSelect.html
PredictorSelect/json (API)

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

Peer review:

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1.00 score 456 downloads 2 exports 0 dependencies

Last updated 6 months agofrom:7060af3c35. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 08 2024
R-4.5-linuxOKNov 08 2024

Exports:DMBAR_Testrecursive_hstep_fast

Dependencies: