postshock: Donor-Adjusted Post-Shock Forecasting
Implements donor-adjusted methods for forecasting conditional means and variances after structural shocks. Historical donor episodes are weighted using covariates observed before each shock, and their estimated post-shock effects are combined with forecasts from a target-series model. The methods build on Lin and Eck (2021) <doi:10.1016/j.ijforecast.2021.03.010>. The package supports donor balancing weights, structured donor pools, autoregressive integrated moving average models, and generalized autoregressive conditional heteroscedasticity models with external regressors.
| Version: | 0.2.0 |
| Depends: | R (≥ 4.1.0) |
| Imports: | Rsolnp, garchx, forecast, lmtest, xts, zoo |
| Suggests: | knitr, rmarkdown, testthat (≥ 3.0.0) |
| Published: | 2026-07-27 |
| DOI: | 10.32614/CRAN.package.postshock (may not be active yet) |
| Author: | Qiyang Wang  [aut,
cre],
Daniel J. Eck [aut] |
| Maintainer: | Qiyang Wang <wangqiyang497 at gmail.com> |
| License: | MIT + file LICENSE |
| NeedsCompilation: | no |
| Language: | en-US |
| Materials: | README |
| CRAN checks: | postshock results |
Documentation:
| Reference manual: | postshock.html , postshock.pdf |
| Vignettes: |
Post-Shock Forecasting Workflow (source, R code) |
Downloads:
| Package source: | postshock_0.2.0.tar.gz |
| Windows binaries: | r-devel: not available, r-release: not available, r-oldrel: not available |
| macOS binaries: | r-release (arm64): not available, r-oldrel (arm64): not available, r-release (x86_64): not available, r-oldrel (x86_64): not available |
Linking:
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