tstests-package

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. package

See Also

Useful links:

• https://www.nopredict.com/packages/tstests
• https://github.com/tsmodels/tstests

Author(s)

Maintainer : Alexios Galanos alexios@4dscape.com (ORCID) [copyright holder]