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Implements a comprehensive suite of statistical tests for evaluating the accuracy of forecasting models against a benchmark. The package is grounded in the reality check framework of White (2000) <doi:10.1111/1468-0262.00152>, extended by Hansen (2005) <doi:10.1198/073500105000000063> for Superior Predictive Ability (SPA), 'Giacomini' & White (2006) <doi:10.1111/j.1468-0262.2006.00718.x> for Conditional Predictive Ability (CPA), and 'Corradi' & Swanson (2006) <doi:10.1016/j.jeconom.2005.07.026> for predictive density evaluation via the 'Kullback'-'Leibler' Information Criterion ('KLIC') and 'ZP' Quantile Loss test, the Continuous Ranked Probability Score ('CRPS') ('Gneiting' & 'Raftery', 2007) <doi:10.1198/016214506000001437>, coverage tests ('Kupiec', 1995) <doi:10.3905/jod.1995.407942>, 'HAC' covariance estimation ('Newey' & West, 1987) <doi:10.2307/1913610>, and Moving Block Bootstrap resampling ('Kunsch', 1989) <doi:10.1214/aos/1176347265>.
| Version: | 1.0 |
| Depends: | R (≥ 3.5.0) |
| Imports: | ggplot2, gridExtra, ggrepel, rlang, stats |
| Published: | 2026-06-02 |
| DOI: | 10.32614/CRAN.package.RCtest |
| Author: | Joanna Jedrzejewska [aut, cre] (Faculty of Economic Sciences, University of Warsaw, Poland), Krzysztof Drachal [ctb] (Faculty of Economic Sciences, University of Warsaw, Poland) |
| Maintainer: | Joanna Jedrzejewska <j.jedrzejewska3 at uw.edu.pl> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| Language: | en-US |
| Materials: | NEWS |
| CRAN checks: | RCtest results |
| Reference manual: | RCtest.html , RCtest.pdf |
| Package source: | RCtest_1.0.tar.gz |
| Windows binaries: | r-devel: not available, r-release: RCtest_1.0.zip, r-oldrel: not available |
| macOS binaries: | r-release (arm64): RCtest_1.0.tgz, r-oldrel (arm64): RCtest_1.0.tgz, r-release (x86_64): RCtest_1.0.tgz, r-oldrel (x86_64): RCtest_1.0.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.