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EncompassTest  

Direct Multi-Step Forecast Based Comparison of Nested Models via an Encompassing Test
View on CRAN: Click here


Download and install EncompassTest package within the R console
Install from CRAN:
install.packages("EncompassTest")

Install from Github:
library("remotes")
install_github("cran/EncompassTest")

Install by package version:
library("remotes")
install_version("EncompassTest", "0.22")



Attach the package and use:
library("EncompassTest")
Maintained by
Rong Peng
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2024-02-19
Latest Update: 2024-02-19
Description:
The encompassing test is developed based on multi-step-ahead predictions of two nested models as in Pitarakis, J. (2023) . The statistics are standardised to a normal distribution, and the null hypothesis is that the larger model contains no additional useful information. P-values will be provided in the output.
How to cite:
Rong Peng (2024). EncompassTest: Direct Multi-Step Forecast Based Comparison of Nested Models via an Encompassing Test. R package version 0.22, https://cran.r-project.org/web/packages/EncompassTest
Previous versions and publish date:
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