RCtest: Reality Check and Predictive Ability Tests for Forecast
Evaluation
Implements a comprehensive suite of statistical tests for
evaluating the accuracy of forecasting models against a benchmark.
The package is grounded in the reality check framework of White
(2000) <doi:10.1111/1468-0262.00152>, extended by Hansen (2005)
<doi:10.1198/073500105000000063> for Superior Predictive Ability
(SPA), Giacomini & White (2006) <doi:10.1111/j.1468-0262.2006.00718.x>
for Conditional Predictive Ability (CPA), and Corradi & Swanson
(2006) <doi:10.1016/j.jeconom.2005.07.026> for predictive density
evaluation via the Kullback-Leibler Information Criterion (KLIC) and
ZP Quantile Loss test, the Continuous Ranked Probability
Score (CRPS) (Gneiting & Raftery, 2007)
<doi:10.1198/016214506000001437>, coverage tests (Kupiec, 1995)
<doi:10.3905/jod.1995.407942>, HAC covariance estimation (Newey &
West, 1987) <doi:10.2307/1913610>, and Moving Block Bootstrap
resampling (Kunsch, 1989) <doi:10.1214/aos/1176347265>.
| Version: |
1.1 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
ggplot2, gridExtra, ggrepel, rlang, stats |
| Published: |
2026-08-20 |
| DOI: |
10.32614/CRAN.package.RCtest |
| Author: |
Joanna Jedrzejewska [aut, cre] (Faculty of Economic Sciences,
University of Warsaw, Poland),
Krzysztof Drachal [ctb] (Faculty of Economic Sciences, University of
Warsaw, Poland) |
| Maintainer: |
Joanna Jedrzejewska <j.jedrzejewska3 at uw.edu.pl> |
| License: |
GPL-3 |
| NeedsCompilation: |
no |
| Language: |
en-US |
| Materials: |
NEWS |
| CRAN checks: |
RCtest results |
Documentation:
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