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arXiv · 2603.07458

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

Minchul Shin·Nathan Schor
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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.

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Minchul Shin, Nathan Schor. 2026-03-08. ForeComp: An R Package for Comparing Predictive Accuracy Using Fixed-Smoothing Asymptotics. https://arxiv.org/abs/2603.07458

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