tstests
Time Series Goodness of Fit and Forecast Evaluation Tests
Description
Goodness of Fit and Forecast Evaluation Tests for timeseries models. Includes, among others, the Generalized Method of Moments (GMM) Orthogonality Test of Hansen (1982), the Nyblom (1989) parameter constancy test, the sign-bias test of Engle and Ng (1993), and a range of tests for value at risk and expected shortfall evaluation.
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CRAN Check Status
Show all 13 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | NOTE |
| r-devel-linux-x86_64-debian-gcc | NOTE |
| r-devel-linux-x86_64-fedora-clang | NOTE |
| r-devel-linux-x86_64-fedora-gcc | NOTE |
| r-devel-windows-x86_64 | NOTE |
| r-oldrel-macos-arm64 | NOTE |
| r-oldrel-macos-x86_64 | NOTE |
| r-oldrel-windows-x86_64 | NOTE |
| r-patched-linux-x86_64 | NOTE |
| r-release-linux-x86_64 | NOTE |
| r-release-macos-arm64 | NOTE |
| r-release-macos-x86_64 | NOTE |
| r-release-windows-x86_64 | NOTE |
Check details (13 non-OK)
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
'berkowitz.R' 'dac.R' 'gmm.R' 'hongli.R' 'minzar.R' 'nyblom.R'
'shortfall_de.R' 'signbias.R' 'var.R' 'var_cp.R'
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
'berkowitz.R' 'dac.R' 'gmm.R' 'hongli.R' 'minzar.R' 'nyblom.R'
'shortfall_de.R' 'signbias.R' 'var.R' 'var_cp.R'
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
'berkowitz.R' 'dac.R' 'gmm.R' 'hongli.R' 'minzar.R' 'nyblom.R'
'shortfall_de.R' 'signbias.R' 'var.R' 'var_cp.R'
Check History
NOTE 0 OK · 13 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Jun 9, 2026
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
'berkowitz.R' 'dac.R' 'gmm.R' 'hongli.R' 'minzar.R' 'nyblom.R'
'shortfall_de.R' 'signbias.R' 'var.R' 'var_cp.R'
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
'berkowitz.R' 'dac.R' 'gmm.R' 'hongli.R' 'minzar.R' 'nyblom.R'
'shortfall_de.R' 'signbias.R' 'var.R' 'var_cp.R'
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
'berkowitz.R' 'dac.R' 'gmm.R' 'hongli.R' 'minzar.R' 'nyblom.R'
'shortfall_de.R' 'signbias.R' 'var.R' 'var_cp.R'
ERROR 0 OK · 12 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE Jun 8, 2026
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
package dependencies
Packages required but not available: 'flextable', 'car' Package suggested but not available for checking: ‘tsgarch’ See section ‘The DESCRIPTION file’ in the ‘Writing R Extensions’ manual.
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
'berkowitz.R' 'dac.R' 'gmm.R' 'hongli.R' 'minzar.R' 'nyblom.R'
'shortfall_de.R' 'signbias.R' 'var.R' 'var_cp.R'
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
'berkowitz.R' 'dac.R' 'gmm.R' 'hongli.R' 'minzar.R' 'nyblom.R'
'shortfall_de.R' 'signbias.R' 'var.R' 'var_cp.R'
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
'berkowitz.R' 'dac.R' 'gmm.R' 'hongli.R' 'minzar.R' 'nyblom.R'
'shortfall_de.R' 'signbias.R' 'var.R' 'var_cp.R'
NOTE 3 OK · 11 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
'berkowitz.R' 'dac.R' 'gmm.R' 'hongli.R' 'minzar.R' 'nyblom.R'
'shortfall_de.R' 'signbias.R' 'var.R' 'var_cp.R'
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
‘berkowitz.R’ ‘dac.R’ ‘gmm.R’ ‘hongli.R’ ‘minzar.R’ ‘nyblom.R’
‘shortfall_de.R’ ‘signbias.R’ ‘var.R’ ‘var_cp.R’
DESCRIPTION meta-information
Missing dependency on R >= 4.1.0 because package code uses the pipe
|> or function shorthand \(...) syntax added in R 4.1.0.
File(s) using such syntax:
'berkowitz.R' 'dac.R' 'gmm.R' 'hongli.R' 'minzar.R' 'nyblom.R'
'shortfall_de.R' 'signbias.R' 'var.R' 'var_cp.R'