Reality Check and Predictive Ability Tests for Forecast Evaluation

Implements a comprehensive suite of statistical tests for evaluating the accuracy of forecasting models against a benchmark. The package is grounded in the reality check framework of White (2000) , extended by Hansen (2005) for Superior Predictive Ability (SPA), Giacomini & White (2006) for Conditional Predictive Ability (CPA), and Corradi & Swanson (2006) for predictive density evaluation via the Kullback-Leibler Information Criterion (KLIC) and ZP Quantile Loss test, the Continuous Ranked Probability Score (CRPS) (Gneiting & Raftery, 2007) , coverage tests (Kupiec, 1995) , HAC covariance estimation (Newey & West, 1987) , and Moving Block Bootstrap resampling (Kunsch, 1989) .