berkowitz_test: Berkowitz Forecast Density Test

In tstests: Time Series Goodness of Fit and Forecast Evaluation Tests

Berkowitz Forecast Density Test

Description

The forecast density test of Berkowitz (2001).

Usage

berkowitz_test(x, lags = 1, ...)

Arguments

x	a series representing the PIT transformed actuals given the forecast values.
lags	the number of autoregressive lags (positive and greater than 0).
...	additional arguments passed to the arima function which estimates the unrestricted model.

Value

An object of class “tstest.berkowitz” which has a print and as_flextable method.

References

\insertRef

Berkowitz2001tstests

\insertRef

Jarque1987tstests

Examples

library(tsdistributions)
data(garch_forecast)
x <- pdist('jsu', q = garch_forecast$actual, mu = garch_forecast$forecast,
sigma = garch_forecast$sigma, skew = garch_forecast$skew,
shape = garch_forecast$shape)
print(berkowitz_test(x))

tstests documentation built on Oct. 30, 2024, 9:28 a.m.