Introduction | Goodness of Fit Tests | GMM Orthogonality | Non Parametric Density Test | Parameter Constancy | Sign Bias | Forecast Evaluation Tests | Density Forecast | Directional Accuracy | Forecast Unbiasedness | Expected Shortfall | The Unconditional Test | The Conditional Test | Example | Value at Risk: Coverage and Duration | Proportion of Failures (UC) | Independence of Failures (CCI) | Conditional Coverage (CC) | Duration between Failures (D) | References
Package: tstests 1.0.2
Alexios Galanos
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.
Authors:
tstests_1.0.2.tar.gz
tstests_1.0.2.zip(r-4.7)tstests_1.0.2.zip(r-4.6)tstests_1.0.2.zip(r-4.5)
tstests_1.0.2.tgz(r-4.6-any)tstests_1.0.2.tgz(r-4.5-any)
tstests_1.0.2.tar.gz(r-4.7-any)tstests_1.0.2.tar.gz(r-4.6-any)
tstests_1.0.2.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
tstests/json (API)
| # Install 'tstests' in R: |
| install.packages('tstests', repos = c('https://tsmodels.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/tsmodels/tstests/issues
Datasets:
- arma_forecast - Sample ARMA Forecast Data
- garch_forecast - Sample GARCH Forecast Data
- spy - SPY ETF Adjusted Close
Last updated from:f596ecbbc0. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 227 | ||
| source / vignettes | OK | 285 | ||
| linux-release-x86_64 | OK | 202 | ||
| macos-release-arm64 | OK | 186 | ||
| macos-oldrel-arm64 | OK | 120 | ||
| windows-devel | OK | 135 | ||
| windows-release | OK | 166 | ||
| windows-oldrel | OK | 128 | ||
| wasm-release | OK | 146 |
Exports:berkowitz_testdac_testgmm_testhongli_testminzar_testnyblom_testshortfall_de_testsignbias_testvar_cp_testvar_test
Dependencies:abindaskpassbackportsbase64encbootbroombslibcachemcarcarDataclicolorspacecowplotcpp11data.tableDerivdigestdoBydplyrevaluatefarverfastmapflextableFNNfontawesomefontBitstreamVerafontLiberationfontquiverforecastFormulafracdifffsgdtoolsgenericsggplot2gluegtablehighrhtmltoolsisobandjquerylibjsonlitekernlabKernSmoothknitrkslabelinglatticelifecyclelme4lmtestmagrittrMASSMatrixMatrixModelsmclustmemoisemgcvmicrobenchmarkmimeminqamodelrmulticoolmvtnormnlmenloptrnnetnumDerivofficeropensslpbkrtestpillarpkgconfigpracmapurrrquantregR6raggrappdirsrbibutilsRColorBrewerRcppRcppArmadilloRcppEigenRdpackreformulasrlangrmarkdownS7sassscalesSparseMstringistringrsurvivalsyssystemfontstextshapingtibbletidyrtidyselecttimeDatetinytextsmethodsurcautf8uuidvctrsviridisLitewithrxfunxml2xtsyamlzipzoo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Sample ARMA Forecast Data | arma_forecast |
| Transform a summary object into flextable | as_flextable.tstest as_flextable.tstest.berkowitz as_flextable.tstest.dac as_flextable.tstest.gmm as_flextable.tstest.hongli as_flextable.tstest.minzar as_flextable.tstest.nyblom as_flextable.tstest.shortfall_de as_flextable.tstest.signbias as_flextable.tstest.vares as_flextable.tstest.var_cp |
| Berkowitz Forecast Density Test | berkowitz_test |
| Directional Accuracy Tests | dac_test |
| Sample GARCH Forecast Data | garch_forecast |
| GMM Orthogonality Test | gmm_test |
| The Non-Parametric Density Test of Hong and Li | hongli_test |
| Mincer-Zarnowitz Test | minzar_test |
| Nyblom-Hansen Parameter Constancy Test | nyblom_test |
| Test Print method | print.tstest print.tstest.berkowitz print.tstest.dac print.tstest.gmm print.tstest.hongli print.tstest.minzar print.tstest.nyblom print.tstest.shortfall_de print.tstest.signbias print.tstest.vares print.tstest.var_cp |
| Expected Shortfall DE Test | shortfall_de_test shortfall_test |
| Sign Bias Test | signbias_test |
| SPY ETF Adjusted Close | spy |
| Value at Risk CP Test | var_cp_test |
| Value at Risk and Expected Shortfall Tests | var_test |
