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.

Version:	1.0.1
Depends:	R (≥ 3.5.0), methods, tsmethods
Imports:	data.table, flextable, Rdpack, car, ks, xts
Suggests:	knitr, rmarkdown, sandwich, testthat (≥ 3.0.0), tsdistributions, tsgarch
Published:	2024-10-24
DOI:	10.32614/CRAN.package.tstests
Author:	Alexios Galanos [aut, cre, cph]
Maintainer:	Alexios Galanos <alexios at 4dscape.com>
License:	GPL-2
URL:	https://www.nopredict.com/packages/tstests, https://github.com/tsmodels/tstests
NeedsCompilation:	no
Materials:	NEWS
In views:	TimeSeries
CRAN checks:	tstests results

Documentation:

Reference manual:	tstests.html , tstests.pdf
Vignettes:	Time Series Tests (source, R code)

Downloads:

Package source:	tstests_1.0.1.tar.gz
Windows binaries:	r-devel: tstests_1.0.1.zip, r-release: tstests_1.0.1.zip, r-oldrel: tstests_1.0.1.zip
macOS binaries:	r-release (arm64): tstests_1.0.1.tgz, r-oldrel (arm64): tstests_1.0.1.tgz, r-release (x86_64): tstests_1.0.1.tgz, r-oldrel (x86_64): tstests_1.0.1.tgz
Old sources:	tstests archive

Reverse dependencies:

Reverse suggests:

tsissm, tsmarch

Linking:

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