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

Econometrics 2026-03-10 v1 Applications

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

Cite

@article{arxiv.2603.07458,
  title  = {ForeComp: An R Package for Comparing Predictive Accuracy Using Fixed-Smoothing Asymptotics},
  author = {Minchul Shin and Nathan Schor},
  journal= {arXiv preprint arXiv:2603.07458},
  year   = {2026}
}

Comments

45 pages, 2 figures

R2 v1 2026-07-01T11:08:53.627Z