forecastADAPT: Computation of Adaptive Forecast
The function forAD() implements the adaptive forecasting procedure of Giraitis, Kapetanios and Price (2013) <doi:10.1016/j.jeconom.2013.04.003>. The method can be iterated (e.g., adapt²) and combined with autoregressive (AR) forecasting. These approaches are computationally simple and adapt automatically to structural changes without requiring prior specification of the underlying data-generating process. They are applicable to both stationary and non-stationary time series. The numerical and graphical outputs assist in selecting an appropriate forecasting method, particularly one that minimises mean squared forecast error (MSFE) and yields uncorrelated forecast errors.
| Version: |
0.1.0 |
| Imports: |
stats, graphics, lubridate, grDevices, knitr, testcorr, xts, zoo |
| Suggests: |
testthat |
| Published: |
2026-05-08 |
| DOI: |
10.32614/CRAN.package.forecastADAPT (may not be active yet) |
| Author: |
Violetta Dalla [aut, cre],
Liudas Giraitis [aut],
George Kapetanios [aut] |
| Maintainer: |
Violetta Dalla <vidalla at econ.uoa.gr> |
| License: |
GPL-3 |
| NeedsCompilation: |
no |
| CRAN checks: |
forecastADAPT results |
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