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forecastADAPT  

Computation of Adaptive Forecast
View on CRAN: Click here


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

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

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



Attach the package and use:
library("forecastADAPT")
Maintained by
Violetta Dalla
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-05-08
Latest Update: 2026-05-08
Description:
The function forAD() implements the adaptive forecasting procedure of Giraitis, Kapetanios and Price (2013) <doi:10.1016/j.jeconom.2013.04.003>. The method can be iterated (e.g., adapt²) and combined with autoregressive (AR) forecasting. These approaches are computationally simple and adapt automatically to structural changes without requiring prior specification of the underlying data-generating process. They are applicable to both stationary and non-stationary time series. The numerical and graphical outputs assist in selecting an appropriate forecasting method, particularly one that minimises mean squared forecast error (MSFE) and yields uncorrelated forecast errors.
How to cite:
Violetta Dalla (2026). forecastADAPT: Computation of Adaptive Forecast. R package version 0.1.0, https://cran.r-project.org/web/packages/forecastADAPT. Accessed 21 Aug. 2026.
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