DESCRIPTION text per CRAN feedback:
removed the redundant "Tools for" prefix from the title and spelled out
acronyms (MSFE, SPA) on first use.Initial release. Provides a unified toolkit for out-of-sample forecast dominance testing.
dm_test() — Diebold-Mariano (with Harvey, Leybourne, and Newbold
(1997) small-sample correction).cw_test() — Clark and West (2007) MSFE-adjusted statistic.mse_f_test() — McCracken (2007) MSE-F equal-MSFE statistic for
nested out-of-sample comparison.enc_new() — ENC-NEW encompassing test of Clark and McCracken (2001).gw_test() — Giacomini and White (2006) conditional equal predictive
ability test.spa_test() — Hansen (2005) test for superior predictive ability.cspa_test() — Li, Liao, and Quaedvlieg (2022) test for conditional
superior predictive ability, with the accompanying cspa_test_plot()
visualisation and csms() confidence set for the most superior method.uspa_mh_test() and aspa_mh_test() — uniform and average
multi-horizon SPA tests of Quaedvlieg (2021), implemented with a
moving-block bootstrap.ivx_wald() — Kostakis, Magdalinos, and Stamatogiannis (2015) IVX-Wald
statistic for predictive regressions with persistent regressors.qll_hat() — Elliott and Muller (2006) qLL statistic for testing
parameter time variation.Bundled cm2001, hl2005, gw2006, wg2008, quaedvlieg2021,
llq2022, llq2022_jnj, llq2022_uv_cspa, nrtz2014, rossi2006,
rrz2016, and rz2013 datasets used by the replication vignettes.