Package: tstests 1.0.1

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:Alexios Galanos [aut, cre, cph]

tstests_1.0.1.tar.gz
tstests_1.0.1.zip(r-4.5)tstests_1.0.1.zip(r-4.4)tstests_1.0.1.zip(r-4.3)
tstests_1.0.1.tgz(r-4.4-any)tstests_1.0.1.tgz(r-4.3-any)
tstests_1.0.1.tar.gz(r-4.5-noble)tstests_1.0.1.tar.gz(r-4.4-noble)
tstests_1.0.1.tgz(r-4.4-emscripten)tstests_1.0.1.tgz(r-4.3-emscripten)
tstests.pdf |tstests.html✨
tstests/json (API)
NEWS

# 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

On CRAN:

forecasting statistical-tests

5.10 score 5 stars 3 scripts 529 downloads 10 exports 110 dependencies

Last updated 9 days agofrom:17670d9b4f. Checks:OK: 7. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Nov 14 2024
R-4.5-win	OK	Nov 14 2024
R-4.5-linux	OK	Nov 14 2024
R-4.4-win	OK	Nov 14 2024
R-4.4-mac	OK	Nov 14 2024
R-4.3-win	OK	Nov 14 2024
R-4.3-mac	OK	Nov 14 2024

Exports:berkowitz_test dac_test gmm_test hongli_test minzar_test nyblom_test shortfall_de_test signbias_test var_cp_test var_test

Dependencies:abind askpass backports base64enc boot broom bslib cachem car carData cli colorspace cowplot cpp11 data.table Deriv digest doBy dplyr evaluate fansi farver fastmap flextable FNN fontawesome fontBitstreamVera fontLiberation fontquiver Formula fs gdtools generics ggplot2 glue gtable highr htmltools isoband jquerylib jsonlite kernlab KernSmooth knitr ks labeling lattice lifecycle lme4 magrittr MASS Matrix MatrixModels mclust memoise mgcv microbenchmark mime minqa modelr multicool munsell mvtnorm nlme nloptr nnet numDeriv officer openssl pbkrtest pillar pkgconfig pracma purrr quantreg R6 ragg rappdirs rbibutils RColorBrewer Rcpp RcppEigen Rdpack rlang rmarkdown sass scales SparseM stringi stringr survival sys systemfonts textshaping tibble tidyr tidyselect tinytex tsmethods utf8 uuid vctrs viridisLite withr xfun xml2 xts yaml zip zoo

Time Series Tests

Rendered fromtstest_introduction.Rmdusingknitr::rmarkdownon Nov 14 2024.

Last update: 2024-10-24
Started: 2024-05-15

Citation

Development and contributors

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