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: Downloads: Reverse dependencies: Linking:Please use the canonical form https://CRAN.R-project.org/package=tstests to link to this page.
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