Nothing
tstests: Time Series Goodness of Fit and Forecast Evaluation Tests
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.
Getting started
Browse package contents
Package details |
|
|---|---|
| Author | Alexios Galanos [aut, cre, cph] (<https://orcid.org/0009-0000-9308-0457>) |
| Maintainer | Alexios Galanos <alexios@4dscape.com> |
| License | GPL-2 |
| Version | 1.0.1 |
| URL | https://www.nopredict.com/packages/tstests https://github.com/tsmodels/tstests |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
|
Try the tstests package in your browser
Any scripts or data that you put into this service are public.
