forecastdom 0.1.0

Initial release. Provides a unified toolkit for out-of-sample forecast dominance testing.

Tests

• dm_test() — Diebold-Mariano (with Harvey, Leybourne, and Newbold
  1997. small-sample correction).
• cw_test() — Clark and West (2007) MSFE-adjusted statistic.
• mse_f_test() — McCracken (2007) MSE-F equal-MSFE statistic for nested out-of-sample comparison.
• enc_new() — ENC-NEW encompassing test of Clark and McCracken (2001).
• gw_test() — Giacomini and White (2006) conditional equal predictive ability test.
• spa_test() — Hansen (2005) test for superior predictive ability.
• cspa_test() — Li, Liao, and Quaedvlieg (2022) test for conditional superior predictive ability, with the accompanying cspa_test_plot() visualisation and csms() confidence set for the most superior method.
• uspa_mh_test() and aspa_mh_test() — uniform and average multi-horizon SPA tests of Quaedvlieg (2021), implemented with a moving-block bootstrap.
• ivx_wald() — Kostakis, Magdalinos, and Stamatogiannis (2015) IVX-Wald statistic for predictive regressions with persistent regressors.
• qll_hat() — Elliott and Muller (2006) qLL statistic for testing parameter time variation.

Data

Bundled cm2001, hl2005, gw2006, wg2008, quaedvlieg2021, llq2022, llq2022_jnj, llq2022_uv_cspa, nrtz2014, rossi2006, rrz2016, and rz2013 datasets used by the replication vignettes.