# New package: ForecastEval

**URL:** <https://discourse.julialang.org/t/new-package-forecasteval/774>\
**Category:** Statistics\
**Tags:** package, announcement\
**Created:** [December 7, 2016, 5:03am UTC](https://discourse.julialang.org/t/new-package-forecasteval/774 "2016-12-07T05:03:16Z")\
**Posts on this page:** 1\
**Page:** 1

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**Author:** ![colintbowers](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/colintbowers/32/8033_2.png) [@colintbowers](https://discourse.julialang.org/u/colintbowers)\
**Post date:** [December 7, 2016, 5:03am UTC](https://discourse.julialang.org/t/new-package-forecasteval/774/1 "2016-12-07T05:03:16Z")

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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](https://github.com/colintbowers/ForecastEval.jl). 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,

Colin