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estimate_forecast_variance() now requires a
realized argument. Forecast errors are computed relative to
the realized outcome instead of the benchmark forecast.superior_predictive_ability_test(),
white_reality_check_conditional(),
white_reality_check_cdf_approx(),
kullback_leibler_test(), and
reality_check_zp_test(), which inflated test statistics by
a factor of roughly sqrt(sample size).white_reality_check_cdf_approx()’s bootstrap
null-cenetring, which previously caused the test to reject H0 in almost
all samples regardless of the data. This is a separate fix from the one
above.compute_per_model_statistics()
(H1 = "more"/"less"). Two-sided results are
unaffected.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.