New package: ForecastEval

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.

Cheers all,