Description Usage Arguments Details Value
The Test for Forecast Encompassing compares the forecast of two forecast methods.
1 | enc.test(y, fA, fB)
|
y |
The observed time series. |
fA |
Forecast from method A. |
fB |
Forecast from method B. |
The null hypothesis is that the method A forecast encompasses of method B, i.e., method B have the same information of method A. The alternative hypothesis is that method B have additional information.
An object of class "coeftest" which is essentially a coefficient matrix with columns containing the estimates, associated standard errors, test statistics and p values.
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