RCtest
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>.
- A Reality Check for Data Snooping
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A Test for Superior Predictive Ability
- Predictive density and conditional confidence interval accuracy tests
- Strictly Proper Scoring Rules, Prediction, and Estimation
- Techniques for Verifying the Accuracy of Risk Measurement Models
- Tests of Conditional Predictive Ability
- The jackknife and the bootstrap for general stationary observations
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