tstests: Time Series Goodness of Fit and Forecast Evaluation Tests

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.

Version:	1.0.0
Depends:	R (≥ 3.5.0), methods, tsmethods
Imports:	data.table, flextable, Rdpack, car, ks, xts
Suggests:	knitr, rmarkdown, sandwich, testthat (≥ 3.0.0), tsdistributions, tsgarch
Published:	2024-05-15
Author:	Alexios Galanos [aut, cre, cph]
Maintainer:	Alexios Galanos <alexios at 4dscape.com>
License:	GPL-2
URL:	https://www.nopredict.com/packages/tstests, https://github.com/tsmodels/tstests
NeedsCompilation:	no
Materials:	NEWS
CRAN checks:	tstests results

Documentation:

Reference manual:	tstests.pdf
Vignettes:	Time Series Tests

Downloads:

Package source:	tstests_1.0.0.tar.gz
Windows binaries:	r-devel: tstests_1.0.0.zip, r-release: tstests_1.0.0.zip, r-oldrel: tstests_1.0.0.zip
macOS binaries:	r-release (arm64): tstests_1.0.0.tgz, r-oldrel (arm64): tstests_1.0.0.tgz, r-release (x86_64): tstests_1.0.0.tgz, r-oldrel (x86_64): tstests_1.0.0.tgz

Linking:

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