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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 |
| DOI: | 10.32614/CRAN.package.EncompassTest |
| Author: | Rong Peng [aut, cre] |
| Maintainer: | Rong Peng <r.peng at soton.ac.uk> |
| License: | GPL (≥ 3) |
| NeedsCompilation: | no |
| CRAN checks: | EncompassTest results |
| Reference manual: | EncompassTest.pdf |
| Package source: | EncompassTest_0.22.tar.gz |
| Windows binaries: | r-devel: EncompassTest_0.22.zip, r-release: EncompassTest_0.22.zip, r-oldrel: EncompassTest_0.22.zip |
| macOS binaries: | r-release (arm64): EncompassTest_0.22.tgz, r-oldrel (arm64): EncompassTest_0.22.tgz, r-release (x86_64): EncompassTest_0.22.tgz, r-oldrel (x86_64): EncompassTest_0.22.tgz |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.