tstests

Last update 18 July 2026

Copyright license GNU General Public License, version 2.0

Software version identifier PACKAGES.rds, 1.0.0, 1.0.1, 1.0.2

Description

Goodness of Fit and Forecast Evaluation Tests for timeseries models. Includes, among others, the Generalized Method of Moments (GMM) Orthogonality Test of Hansen (1982), the Nyblom (1989) parameter constancy test, the sign-bias test of Engle and Ng (1993), and a range of tests for value at risk and expected shortfall evaluation.

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