minzar_test function

Mincer-Zarnowitz Test

The forecast unbiasedness test of Mincer and Zarnowitz (1969).

minzar_test(actual, forecast, ...)

Arguments

• actual: a vector representing the actual values of a series.
• forecast: a vector representing the forecasted values of the series.
• ...: additional arguments passed to linearHypothesis, except the test argument which is fixed to Chisq.

Returns

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

Examples

data(arma_forecast)
test <- minzar_test(arma_forecast$actual, arma_forecast$forecast)
test

References

\insertRef Mincer1969tstests