Direct Multi-Step Forecast Based Comparison of Nested Models via
an Encompassing Test
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Documentation for package ‘EncompassTest’ version 0.22
Help Pages
| andrews_lrv | Long-run covariance estimation using Andrews quadratic spectral kernel. |
| NW_lrv | Long-run covariance estimation using Newey-West (Bartlett) weights |
| pred_encompass_dnorm | Direct Multi-Step Forecast Based Comparison of Nested Models via an Encompassing Test |
| recursive_hstep_fast | Forecasting h-steps ahead using Recursive Least Squares Fast |