minzar_test {tstests}

Mincer-Zarnowitz Test

Description

The forecast unbiasedness test of Mincer and Zarnowitz (1969).

Usage

minzar_test(actual, forecast, ...)

Arguments

actual

a vector representing the actual values of a series.

forecast

a vector representing the forecasted values of the series.

...

additional arguments passed to linearHypothesis, except the “test” argument which is fixed to Chisq.

Value

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

References

Mincer JA, Zarnowitz V (1969). “The evaluation of economic forecasts.” In Economic forecasts and expectations: Analysis of forecasting behavior and performance, 3–46. NBER.

Examples

data(arma_forecast)
test <- minzar_test(arma_forecast$actual, arma_forecast$forecast)
test