berkowitz_test {tstests}

Berkowitz Forecast Density Test

Description

The forecast density test of Berkowitz (2001).

Usage

berkowitz_test(x, lags = 1, ...)

Arguments

x

a series representing the PIT transformed actuals given the forecast values.

lags

the number of autoregressive lags (positive and greater than 0).

...

additional arguments passed to the arima function which estimates the unrestricted model.

Value

An object of class “tstest.berkowitz” which has a print and as_flextable method.

References

Berkowitz J (2001). “Testing density forecasts, with applications to risk management.” Journal of Business & Economic Statistics, 19(4), 465–474.

Jarque CM, Bera AK (1987). “A test for normality of observations and regression residuals.” International Statistical Review/Revue Internationale de Statistique, 163–172.

Examples

library(tsdistributions)
data(garch_forecast)
x <- pdist('jsu', q = garch_forecast$actual, mu = garch_forecast$forecast,
sigma = garch_forecast$sigma, skew = garch_forecast$skew,
shape = garch_forecast$shape)
print(berkowitz_test(x))