fDMA - Dynamic Model Averaging and Dynamic Model Selection for Continuous Outcomes

Allows to estimate dynamic model averaging, dynamic model selection and median probability model. The original methods are implemented, as well as, selected further modifications of these methods. In particular the user might choose between recursive moment estimation and exponentially moving average for variance updating. Inclusion probabilities might be modified in a way using 'Google Trends'. The code is written in a way which minimises the computational burden (which is quite an obstacle for dynamic model averaging if many variables are used). For example, this package allows for parallel computations and Occam's window approach. The package is designed in a way that is hoped to be especially useful in economics and finance. Main reference: Raftery, A.E., Karny, M., Ettler, P. (2010) <doi:10.1198/TECH.2009.08104>.

Last updated 1 months ago

openblascppopenmp

4.26 score 3 stars 60 scripts 571 downloads

pEPA - Tests of Equal Predictive Accuracy for Panels of Forecasts

Allows to perform the tests of equal predictive accuracy for panels of forecasts. Main references: Qu et al. (2024) <doi:10.1016/j.ijforecast.2023.08.001> and Akgun et al. (2024) <doi:10.1016/j.ijforecast.2023.02.001>.

Last updated 2 days ago

openblascpp

2.86 score 1 stars 24 scripts 240 downloads

dynmix - Estimation of Dynamic Finite Mixtures

Allows to perform the dynamic mixture estimation with state-space components and normal regression components, and clustering with normal mixture. Quasi-Bayesian estimation, as well as, that based on the Kerridge inaccuracy approximation are implemented. Main references: Nagy and Suzdaleva (2013) <doi:10.1016/j.apm.2013.05.038>; Nagy et al. (2011) <doi:10.1002/acs.1239>.

Last updated 1 months ago

openblascpp

2.70 score 364 downloads

multDM - Multivariate Version of the Diebold-Mariano Test

Allows to perform the multivariate version of the Diebold-Mariano test for equal predictive ability of multiple forecast comparison. Main reference: Mariano, R.S., Preve, D. (2012) <doi:10.1016/j.jeconom.2012.01.014>.

Last updated 2 days ago

1.45 score 1 stars 28 scripts 364 downloads