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 |
| Author: |
Rong Peng [aut, cre] |
| Maintainer: |
Rong Peng <r.peng at soton.ac.uk> |
| License: |
GPL (≥ 3) |
| NeedsCompilation: |
no |
| CRAN checks: |
EncompassTest results |
Documentation:
Downloads:
Linking:
Please use the canonical form
https://CRAN.R-project.org/package=EncompassTest
to link to this page.