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PredictorSelect  

Out-of-Sample Predictability in Predictive Regressions with Many Predictor Candidates
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("PredictorSelect", "0.1.0")



Attach the package and use:
library("PredictorSelect")
Maintained by
Rong Peng
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2024-06-10
Latest Update: 2024-06-10
Description:
Consider a linear predictive regression setting with a potentially large set of candidate predictors. This work is concerned with detecting the presence of out of sample predictability based on out of sample mean squared error comparisons given in Gonzalo and Pitarakis (2023) <doi:10.1016/j.ijforecast.2023.10.005>.
How to cite:
Rong Peng (2024). PredictorSelect: Out-of-Sample Predictability in Predictive Regressions with Many Predictor Candidates. R package version 0.1.0, https://cran.r-project.org/web/packages/PredictorSelect
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