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tstests

Time Series Goodness of Fit and Forecast Evaluation Tests

v1.0.1 · Oct 24, 2024 · GPL-2
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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

11 NOTE
3 OK
Show all 14 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-macos-arm64 NOTE
r-devel-windows-x86_64 NOTE
r-oldrel-macos-arm64 OK
r-oldrel-macos-x86_64 OK
r-oldrel-windows-x86_64 OK
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 (11 non-OK)
NOTE r-devel-linux-x86_64-debian-clang

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 r-devel-linux-x86_64-debian-gcc

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 r-devel-linux-x86_64-fedora-clang

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 r-devel-linux-x86_64-fedora-gcc

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 r-devel-macos-arm64

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 r-devel-windows-x86_64

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 r-patched-linux-x86_64

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 r-release-linux-x86_64

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 r-release-macos-arm64

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 r-release-macos-x86_64

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 r-release-windows-x86_64

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 3 OK · 11 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
NOTE r-devel-linux-x86_64-debian-clang

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 r-devel-linux-x86_64-debian-gcc

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 r-devel-linux-x86_64-fedora-clang

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 r-devel-linux-x86_64-fedora-gcc

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 r-devel-macos-arm64

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 r-devel-windows-x86_64

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 r-patched-linux-x86_64

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 r-release-linux-x86_64

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 r-release-macos-arm64

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 r-release-macos-x86_64

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 r-release-windows-x86_64

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'

Reverse Dependencies (2)

suggests

tsissm tsmarch

Dependency Network

Dependencies Reverse dependencies tsmethods data.table flextable Rdpack car ks xts tsissm tsmarch tstests

Version History

new 1.0.1 Mar 10, 2026
updated 1.0.1 ← 1.0.0 diff Oct 24, 2024
new 1.0.0 May 14, 2024