berkowitz_test function

Berkowitz Forecast Density Test

The forecast density test of Berkowitz (2001).

berkowitz_test(x, lags = 1, ...)

Arguments

• x: a series representing the PIT transformed actuals given the forecast values.
• lags: the number of autoregressive lags (positive and greater than 0).
• ...: additional arguments passed to the arima function which estimates the unrestricted model.

Returns

An object of class tstest.berkowitz which has a print and as_flextable method.

Examples

library(tsdistributions)
data(garch_forecast)
x <- pdist('jsu', q = garch_forecast$actual, mu = garch_forecast$forecast,
sigma = garch_forecast$sigma, skew = garch_forecast$skew,
shape = garch_forecast$shape)
print(berkowitz_test(x))

References

\insertRef Berkowitz2001tstests

\insertRef Jarque1987tstests