The tstests package provides a number of tests for evaluating the
goodness of fit of estimated time series models as well as forecast
evaluation tests. In addition to a standard print method, each test has
an as_flextable method for pretty printing to various document
formats. The table below provides an overview of the implemented tests,
some of which were ported over from rugarch, others re-written and
some are new.
| Test | Function | Reference |
|---|---|---|
| Berkowitz Forecast Density Test | berkowitz_test | Berkowitz (2001) |
| Non Parametric Density Test | hongli_test | Hong and Li (2005) |
| Directional Accuracy Tests | dac_test | Pesaran (1992), Anatolyev (2005) |
| GMM Orthogonality Test | gmm_test | Hansen (1982) |
| Mincer-Zarnowitz Test | minzar_test | Mincer (1969) |
| Sign Bias Test | signbias_test | Engle (1993) |
| Nyblom-Hansen Parameter Constancy Test | nyblom_test | Nyblom (1989) |
| Expected Shortfall Test | shortfall_de_test | Du (2017) |
| Value at Risk Test | var_cp_test | Christoffersen (1998,2004) |
The package can be installed from CRAN or the tsmodels repo.
install.packages("tstests")
remotes::install_github("tsmodels/tstests", dependencies = TRUE)Note, that in order to make use of symbolic output in some of the tests,
flextable requires
equatags to be installed
which has a dependency on
xlst which in turn has
SystemRequirements libxslt. Therefore, if you are seeing NA printed in
place of symbols, then it is likely that xlst is not installed.
Berkowitz,J. (2001). Testing density forecasts, with applications to risk management. Journal of Business & Economic Statistics, 19(4), 465–474.
Hong, Y., and Li, H. (2005), Nonparametric specification testing for continuous-time models with applications to term structure of interest rates, Review of Financial Studies, 18(1), 37–-84.
Pesaran,M.H., Timmermann,A. (1992). A simple nonparametric test of predictive performance. Journal of Business & Economic Statistics, 10(4), 461–465
Anatolyev,S., Gerko,A. (2005). A trading approach to testing for predictability. Journal of Business & Economic Statistics, 23(4), 455–461.
Hansen,L.P. (1982). Large sample properties of generalized method of moments estimators. Econometrica, 50(4), 1029–1054.
Mincer JA, Zarnowitz V (1969). The evaluation of economic forecasts. In Economic forecasts and expectations: Analysis of forecasting behavior and performance, 3–46. NBER.
Nyblom,J. (1989). Testing for the constancy of parameters over time. Journal of the American Statistical Association, 84(405), 223–230.
Du Z, Escanciano JC (2017). Backtesting expected shortfall: accounting for tail risk. Management Science, 63(4), 940–958.
Christoffersen PF (1998). Evaluating interval forecasts. International Economic Review, 841–862.
Christoffersen,P., Pelletier,D. (2004). Backtesting value-at-risk: A duration-based approach. Journal of Financial Econometrics, 2(1), 84–108.
Engle RF, Ng VK (1993). Measuring and testing the impact of news on volatility. The Journal of Finance, 48(5), 1749–1778.