tstests

Time Series Goodness of Fit and Forecast Evaluation Tests

v1.0.1 · Oct 24, 2024 · GPL-2

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	Time
r-devel-linux-x86_64-debian-clang	NOTE	189.1s
r-devel-linux-x86_64-debian-gcc	NOTE	130.8s
r-devel-linux-x86_64-fedora-clang	NOTE	276.7s
r-devel-linux-x86_64-fedora-gcc	NOTE	308.5s
r-devel-macos-arm64	NOTE	46s
r-devel-windows-x86_64	NOTE	191s
r-oldrel-macos-arm64	OK
r-oldrel-macos-x86_64	OK	91s
r-oldrel-windows-x86_64	OK	251s
r-patched-linux-x86_64	NOTE	176.5s
r-release-linux-x86_64	NOTE	175.1s
r-release-macos-arm64	NOTE
r-release-macos-x86_64	NOTE	133s
r-release-windows-x86_64	NOTE	189s

Check details (14 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'

OK r-oldrel-macos-arm64

OK r-oldrel-macos-x86_64

OK r-oldrel-windows-x86_64

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 9, 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

Version History

new 1.0.1 Mar 9, 2026

Maintainer

Alexios Galanos

Dependencies

Depends

R (>= 3.5.0) methods tsmethods

Imports

data.table flextable Rdpack car ks xts

Suggests

knitr rmarkdown sandwich testthat (>= 3.0.0) tsdistributions tsgarch

Compilation

No compilation needed

First Published

Mar 9, 2026

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CRAN Checks

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