Other packages > Find by keyword >

ForeComp  

Size-Power Tradeoff Visualization for Equal Predictive Ability of Two Forecasts
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("ForeComp", "0.9.0")



Attach the package and use:
library("ForeComp")
Maintained by
Minchul Shin
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2023-09-05
Latest Update: 2023-09-05
Description:
Offers a set of tools for visualizing and analyzing size and power properties of the test for equal predictive accuracy, the Diebold-Mariano test that is based on heteroskedasticity and autocorrelation-robust (HAR) inference. A typical HAR inference is involved with non-parametric estimation of the long-run variance, and one of its tuning parameters, the truncation parameter, trades off a size and power. Lazarus, Lewis, and Stock (2021) theoretically characterize the size-power frontier for the Gaussian multivariate location model. 'ForeComp' computes and visualizes the finite-sample size-power frontier of the Diebold-Mariano test based on fixed-b asymptotics together with the Bartlett kernel. To compute the finite-sample size and power, it works with the best approximating ARMA process to the given dataset. It informs the user how their choice of the truncation parameter performs and how robust the testing outcomes are.
How to cite:
Minchul Shin (2023). ForeComp: Size-Power Tradeoff Visualization for Equal Predictive Ability of Two Forecasts. R package version 0.9.0, https://cran.r-project.org/web/packages/ForeComp. Accessed 12 Sep. 2026.
Previous versions and publish date:
0.9.0 (2023-09-05 22:30), (2026-07-09 08:04)
Other packages that cited ForeComp R package
View ForeComp citation profile
Other R packages that ForeComp depends, imports, suggests or enhances
Complete documentation for ForeComp
Functions, R codes and Examples using the ForeComp R package
Full ForeComp package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

electionsBR  
R Functions to Download and Clean Brazilian Electoral Data
Offers a set of functions to easily download and clean Brazilian electoral data from the Superior E ...
Download / Learn more Package Citations See dependency  
NScluster  
Simulation and Estimation of the Neyman-Scott Type Spatial Cluster Models
Simulation and estimation for Neyman-Scott spatial cluster point process models and their extension ...
Download / Learn more Package Citations See dependency  
mixl  
Simulated Maximum Likelihood Estimation of Mixed Logit Models for Large Datasets
Specification and estimation of multinomial logit models. Large datasets and complex models are su ...
Download / Learn more Package Citations See dependency  
unikn  
Graphical Elements of the University of Konstanz's Corporate Design
Define and use graphical elements of corporate design manuals in R. The 'unikn' package provides col ...
Download / Learn more Package Citations See dependency  
r2resize  
In-Text Resize for Images, Tables and Fancy Resize Containers in 'shiny', 'rmarkdown' and 'quarto' Documents
Automatic resizing toolbar for containers, images and tables. Various resizable or expandable contai ...
Download / Learn more Package Citations See dependency  
qdapTools  
Tools for the 'qdap' Package
A collection of tools associated with the 'qdap' package that may be useful outside of the context ...
Download / Learn more Package Citations See dependency  

28,480

R Packages

239,283

Dependencies

75,677

Author Associations

28,481

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA