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

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  • Minchul Shin
  • Nathan Schor

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.

Suggested Citation

  • Minchul Shin & Nathan Schor, 2026. "ForeComp: An R Package for Comparing Predictive Accuracy Using Fixed-Smoothing Asymptotics," Papers 2603.07458, arXiv.org.
    • Handle: RePEc:arx:papers:2603.07458
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    File URL: http://arxiv.org/pdf/2603.07458
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