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

Nathan Schor and Minchul Shin

No 26-38, Working Papers from Federal Reserve Bank of Philadelphia

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.

Keywords: forecast comparison; Diebold–Mariano test; fixed-b asymptotics; fixed-m asymptotics; long-run variance estimation; R package (search for similar items in EconPapers)
JEL-codes: C12 C22 C52 C53 (search for similar items in EconPapers)
Pages: 46
Date: 2026-08-04
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DOI: 10.21799/frbp.wp.2026.38

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