{"id":32206457,"url":"https://github.com/tsmodels/tstests","last_synced_at":"2025-10-22T05:28:20.157Z","repository":{"id":166494768,"uuid":"623305534","full_name":"tsmodels/tstests","owner":"tsmodels","description":"Time Series Tests","archived":false,"fork":false,"pushed_at":"2024-11-14T01:35:36.000Z","size":11870,"stargazers_count":5,"open_issues_count":0,"forks_count":1,"subscribers_count":0,"default_branch":"main","last_synced_at":"2025-10-11T11:44:03.703Z","etag":null,"topics":["forecasting","r","statistical-tests"],"latest_commit_sha":null,"homepage":"","language":"R","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":null,"status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/tsmodels.png","metadata":{"files":{"readme":"README.md","changelog":"NEWS.md","contributing":null,"funding":null,"license":null,"code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null,"governance":null,"roadmap":null,"authors":null,"dei":null,"publiccode":null,"codemeta":null,"zenodo":null,"notice":null,"maintainers":null,"copyright":null,"agents":null,"dco":null,"cla":null}},"created_at":"2023-04-04T05:32:31.000Z","updated_at":"2024-11-14T01:35:40.000Z","dependencies_parsed_at":null,"dependency_job_id":"a7a702c8-1a40-4de5-8040-fc69981c7dff","html_url":"https://github.com/tsmodels/tstests","commit_stats":{"total_commits":17,"total_committers":1,"mean_commits":17.0,"dds":0.0,"last_synced_commit":"d89a3513c16ec173ed6954fa53d5340ce1c27c1b"},"previous_names":["tsmodels/tstests"],"tags_count":0,"template":false,"template_full_name":null,"purl":"pkg:github/tsmodels/tstests","repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/tsmodels%2Ftstests","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/tsmodels%2Ftstests/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/tsmodels%2Ftstests/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/tsmodels%2Ftstests/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/tsmodels","download_url":"https://codeload.github.com/tsmodels/tstests/tar.gz/refs/heads/main","sbom_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/tsmodels%2Ftstests/sbom","scorecard":null,"host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":280383756,"owners_count":26321606,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2022-07-04T15:15:14.044Z","status":"online","status_checked_at":"2025-10-22T02:00:06.515Z","response_time":63,"last_error":null,"robots_txt_status":"success","robots_txt_updated_at":"2025-07-24T06:49:26.215Z","robots_txt_url":"https://github.com/robots.txt","online":true,"can_crawl_api":true,"host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":["forecasting","r","statistical-tests"],"created_at":"2025-10-22T05:28:15.818Z","updated_at":"2025-10-22T05:28:20.153Z","avatar_url":"https://github.com/tsmodels.png","language":"R","funding_links":[],"categories":[],"sub_categories":[],"readme":"\n# tstests \u003cimg src=\"man/figures/logo.png\" align=\"right\" height=\"139\" alt=\"\" /\u003e\n\n[![R-CMD-check](https://github.com/tsmodels/tstests/workflows/R-CMD-check/badge.svg)](https://github.com/tsmodels/tstests/actions)\n[![Last-changedate](https://img.shields.io/badge/last%20change-2024--11--13-yellowgreen.svg)](/commits/master)\n[![packageversion](https://img.shields.io/badge/Package%20version-1.0.1-orange.svg?style=flat-square)](commits/master)\n[![CRAN_Status_Badge](https://www.r-pkg.org/badges/version/tstests)](https://cran.r-project.org/package=tstests)\n\n# tstests\n\nThe `tstests` package provides a number of tests for evaluating the\ngoodness of fit of estimated time series models as well as forecast\nevaluation tests. In addition to a standard print method, each test has\nan `as_flextable` method for pretty printing to various document\nformats. The table below provides an overview of the implemented tests,\nsome of which were ported over from **rugarch**, others re-written and\nsome are new.\n\n| Test | Function | Reference |\n|:---|:--:|---:|\n| Berkowitz Forecast Density Test | berkowitz_test | Berkowitz (2001) |\n| Non Parametric Density Test | hongli_test | Hong and Li (2005) |\n| Directional Accuracy Tests | dac_test | Pesaran (1992), Anatolyev (2005) |\n| GMM Orthogonality Test | gmm_test | Hansen (1982) |\n| Mincer-Zarnowitz Test | minzar_test | Mincer (1969) |\n| Sign Bias Test | signbias_test | Engle (1993) |\n| Nyblom-Hansen Parameter Constancy Test | nyblom_test | Nyblom (1989) |\n| Expected Shortfall Test | shortfall_de_test | Du (2017) |\n| Value at Risk Test | var_cp_test | Christoffersen (1998,2004) |\n\n## Installation\n\nThe package can be installed from CRAN or the\n[tsmodels](https://github.com/tsmodels/) repo.\n\n``` r\ninstall.packages(\"tstests\")\nremotes::install_github(\"tsmodels/tstests\", dependencies = TRUE)\n```\n\nNote, that in order to make use of symbolic output in some of the tests,\n[flextable](https://cran.r-project.org/package=flextable) requires\n[equatags](https://cran.r-project.org/package=equatags) to be installed\nwhich has a dependency on\n[xlst](https://cran.r-project.org/package=xslt) which in turn has\nSystemRequirements libxslt. Therefore, if you are seeing `NA` printed in\nplace of symbols, then it is likely that xlst is not installed.\n\n## References\n\nBerkowitz,J. (2001). *Testing density forecasts, with applications to\nrisk management.* Journal of Business \u0026 Economic Statistics, 19(4),\n465–474.\n\nHong, Y., and Li, H. (2005), *Nonparametric specification testing for\ncontinuous-time models with applications to term structure of interest\nrates*, Review of Financial Studies, 18(1), 37–-84.\n\nPesaran,M.H., Timmermann,A. (1992). *A simple nonparametric test of\npredictive performance.* Journal of Business \u0026 Economic Statistics,\n10(4), 461–465\n\nAnatolyev,S., Gerko,A. (2005). *A trading approach to testing for\npredictability.* Journal of Business \u0026 Economic Statistics, 23(4),\n455–461.\n\nHansen,L.P. (1982). *Large sample properties of generalized method of\nmoments estimators.* Econometrica, 50(4), 1029–1054.\n\nMincer JA, Zarnowitz V (1969). *The evaluation of economic forecasts.*\nIn Economic forecasts and expectations: Analysis of forecasting behavior\nand performance, 3–46. NBER.\n\nNyblom,J. (1989). *Testing for the constancy of parameters over time.*\nJournal of the American Statistical Association, 84(405), 223–230.\n\nDu Z, Escanciano JC (2017). *Backtesting expected shortfall: accounting\nfor tail risk.* Management Science, 63(4), 940–958.\n\nChristoffersen PF (1998). *Evaluating interval forecasts.* International\nEconomic Review, 841–862.\n\nChristoffersen,P., Pelletier,D. (2004). *Backtesting value-at-risk: A\nduration-based approach.* Journal of Financial Econometrics, 2(1),\n84–108.\n\nEngle RF, Ng VK (1993). *Measuring and testing the impact of news on\nvolatility.* The Journal of Finance, 48(5), 1749–1778.\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Ftsmodels%2Ftstests","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Ftsmodels%2Ftstests","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Ftsmodels%2Ftstests/lists"}