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tstests  

Time Series Goodness of Fit and Forecast Evaluation Tests
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("tstests", "1.0.1")



Attach the package and use:
library("tstests")
Maintained by
Alexios Galanos
[Scholar Profile | Author Map]
First Published: 2024-05-15
Latest Update: 2024-05-15
Description:
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.
How to cite:
Alexios Galanos (2024). tstests: Time Series Goodness of Fit and Forecast Evaluation Tests. R package version 1.0.1, https://cran.r-project.org/web/packages/tstests. Accessed 20 Feb. 2025.
Previous versions and publish date:
1.0.0 (2024-05-15 22:20)
Other packages that cited tstests R package
View tstests citation profile
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Complete documentation for tstests
Functions, R codes and Examples using the tstests R package
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