EncompassTest: Direct Multi-Step Forecast Based Comparison of Nested Models via an Encompassing Test

The encompassing test is developed based on multi-step-ahead predictions of two nested models as in Pitarakis, J. (2023) <doi:10.48550/arXiv.2312.16099>. The statistics are standardised to a normal distribution, and the null hypothesis is that the larger model contains no additional useful information. P-values will be provided in the output.

Version:	0.22
Imports:	pracma, stats
Published:	2024-02-19
DOI:	10.32614/CRAN.package.EncompassTest
Author:	Rong Peng [aut, cre]
Maintainer:	Rong Peng <r.peng at soton.ac.uk>
License:	GPL (≥ 3)
NeedsCompilation:	no
CRAN checks:	EncompassTest results

Documentation:

Reference manual:

EncompassTest.pdf

Downloads:

Package source:	EncompassTest_0.22.tar.gz
Windows binaries:	r-devel: EncompassTest_0.22.zip, r-release: EncompassTest_0.22.zip, r-oldrel: EncompassTest_0.22.zip
macOS binaries:	r-release (arm64): EncompassTest_0.22.tgz, r-oldrel (arm64): EncompassTest_0.22.tgz, r-release (x86_64): EncompassTest_0.22.tgz, r-oldrel (x86_64): EncompassTest_0.22.tgz

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