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Description

Direct Multi-Step Forecast Based Comparison of Nested Models via an Encompassing Test.

The encompassing test is developed based on multi-step-ahead predictions of two nested models as in Pitarakis, J. (2023) <doi:10.48550/arXiv.2312.16099>. The statistics are standardised to a normal distribution, and the null hypothesis is that the larger model contains no additional useful information. P-values will be provided in the output.
Metadata

Version

0.22

License

Unknown

Platforms (75)

    Darwin
    FreeBSD
    Genode
    GHCJS
    Linux
    MMIXware
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