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Econometric Time Series
ForeComp: An R Package for Comparing Predictive Accuracy Using Fixed-Smoothing Asymptotics
#forecast_comparison_Diebold–Mariano_test_fixed_b_asymptotics_fixed_m_asymptotics_long_run_variance_estimation_R_package
We introduce ForeComp, an R package for comparing predictive accuracy using Diebold–Mariano type tests of equal predictive ability with standard and fixed-smoothing inference. The package provides a common interface for loss-differential based testing and includes Plot Tradeoff, a visual diagnostic for bandwidth sensitivity and the size–power tradeoff. We illustrate the toolkit with Survey of Professional Forecasters applications and Monte Carlo evidence on finite-sample performance.
(author: Minchul Shin)
