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