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tstests: Time Series Goodness of Fit and Forecast Evaluation Tests
Description
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.
Author(s)
Maintainer: Alexios Galanos alexios@4dscape.com (ORCID) [copyright holder]
See Also
Useful links:
tstests documentation built on Oct. 30, 2024, 9:28 a.m.
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| tstests-package | R Documentation |
tstests: Time Series Goodness of Fit and Forecast Evaluation Tests
Description
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.
Author(s)
Maintainer: Alexios Galanos alexios@4dscape.com (ORCID) [copyright holder]
See Also
Useful links:
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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