forecastdom: Tools for (Un)Conditional Forecast Dominance

A unified toolkit for out-of-sample forecast dominance testing. Covers unconditional and conditional equal and superior predictive ability, encompassing, and nested-model comparison. Implements the Diebold-Mariano test with the Harvey, Leybourne, and Newbold (1997) <doi:10.1016/S0169-2070(96)00719-4> small-sample correction; the Clark-West MSFE-adjusted statistic (Clark and West, 2007) <doi:10.1016/j.jeconom.2006.05.023>; the ENC-NEW encompassing test of Clark and McCracken (2001) <doi:10.1016/S0304-4076(01)00071-9>; the Giacomini-White conditional equal predictive ability test (Giacomini and White, 2006) <doi:10.1111/j.1468-0262.2006.00718.x>; Hansen's superior predictive ability test (Hansen, 2005) <doi:10.1198/073500105000000063>; the conditional superior predictive ability test of Li, Liao, and Quaedvlieg (2022) <doi:10.1093/restud/rdab039>; and the uniform and average multi-horizon SPA tests of Quaedvlieg (2021) <doi:10.1080/07350015.2019.1620074>.

Version: 0.1.0
Depends: R (≥ 3.5)
Imports: MASS, Rcpp, stats, ggplot2
LinkingTo: Rcpp
Suggests: knitr, R.matlab, rmarkdown, testthat (≥ 3.0.0)
Published: 2026-07-24
DOI: 10.32614/CRAN.package.forecastdom (may not be active yet)
Author: Gabriel Cabrera ORCID iD [aut, cre]
Maintainer: Gabriel Cabrera <gabriel.cabrera.guz at gmail.com>
BugReports: https://github.com/gabbocg/forecastdom/issues
License: MIT + file LICENSE
URL: https://gabbocg.github.io/forecastdom/, https://github.com/gabbocg/forecastdom
NeedsCompilation: yes
Language: en-GB
Materials: README, NEWS
CRAN checks: forecastdom results

Documentation:

Reference manual: forecastdom.html , forecastdom.pdf
Vignettes: Replicating Clark & McCracken (2001) (source, R code)
Get Started with forecastdom (source, R code)
Replicating Giacomini & White (2006) (source, R code)
Replicating Hansen & Lunde (2005) (source, R code)
Replicating Li et al. (2022) (source, R code)
Replicating Neely et al. (2014) (source, R code)
Replicating Quaedvlieg (2021) (source, R code)
Replicating Rossi (2006) (source, R code)
Replicating Rapach et al. (2016) (source, R code)
Replicating Rapach & Zhou (2013) (source, R code)
Replicating Welch & Goyal (2008) (source, R code)

Downloads:

Package source: forecastdom_0.1.0.tar.gz
Windows binaries: r-devel: not available, r-release: not available, r-oldrel: not available
macOS binaries: r-release (arm64): forecastdom_0.1.0.tgz, r-oldrel (arm64): forecastdom_0.1.0.tgz, r-release (x86_64): forecastdom_0.1.0.tgz, r-oldrel (x86_64): forecastdom_0.1.0.tgz

Linking:

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