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

TL;DR

ForeComp is an R package that facilitates the comparison of predictive accuracy using advanced statistical tests and visual diagnostics, demonstrated through real-world forecasting applications and simulation studies.

Contribution

The paper introduces ForeComp, a new R package that implements Diebold-Mariano type tests with fixed-smoothing inference and visual diagnostics for predictive accuracy comparison.

Findings

Effective in real forecasting applications

Shows good finite-sample performance in simulations

Provides comprehensive visual diagnostics

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.