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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
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

Documentation:

Reference manual: EncompassTest.pdf

Downloads:

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

Linking:

Please use the canonical form https://CRAN.R-project.org/package=EncompassTest to link to this page.

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.