Time Series Goodness of Fit and Forecast Evaluation Tests
Transform a summary object into flextable
Berkowitz Forecast Density Test
Directional Accuracy Tests
GMM Orthogonality Test
The Non-Parametric Density Test of Hong and Li
Mincer-Zarnowitz Test
Nyblom-Hansen Parameter Constancy Test
Test Print method
Expected Shortfall DE Test
Sign Bias Test
tstests: Time Series Goodness of Fit and Forecast Evaluation Tests
Value at Risk CP Test
Value at Risk and Expected Shortfall 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.