ForeComp: An R Package for Comparing Predictive Accuracy Using Fixed-Smoothing Asymptotics

Minchul Shin and Nathan Schor

Papers from arXiv.org

Abstract: We introduce ForeComp, an R package for comparing predictive accuracy using Diebold-Mariano type tests of equal predictive ability with standard and fixed smoothing inference. The package provides a common interface for loss differential based testing and includes Plot Tradeoff, a visual diagnostic for bandwidth sensitivity and the size-power tradeoff. We illustrate the toolkit with Survey of Professional Forecasters applications and Monte Carlo evidence on finite-sample performance.

Date: 2026-03
New Economics Papers: this item is included in nep-ets and nep-for
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