I’ve just published a new package, ForecastEval, to the official METADATA. The package implements several of the statistical tests from the forecast evaluation literature including:
- Diebold, Mariano (1995) “Comparing Predictive Accuracy”
- White (2000) “A Reality Check for Data Snooping”
- Hansen (2005) “A Test for Superior Predictive Ability”
- Hansen, Lunde, Nason (2011) “The Model Confidence Set”
The packages github page is here. Requirements are fairly minimal - Julia 0.5, Distributions, StatsBase, and the DependentBootstrap package I published a few weeks back.
Any issues, suggestions, or improvements (via pull requests) are most welcome and can be done via the github page.