Working Paper

ForeComp: An R Package for Comparing Predictive Accuracy Using Fixed-Smoothing Asymptotics

Abstract: We introduce ForeComp, an R package for comparing predictive accuracy using Diebold–Mariano type tests of equal predictive ability with standard and fixed-smoothing inference. The package provides a common interface for loss-differential based testing and includes Plot Tradeoff, a visual diagnostic for bandwidth sensitivity and the size–power tradeoff. We illustrate the toolkit with Survey of Professional Forecasters applications and Monte Carlo evidence on finite-sample performance.

JEL Classification: C12; C22; C52; C53;

https://doi.org/10.21799/frbp.wp.2026.38

Bibliographic Information

Provider: Federal Reserve Bank of Philadelphia

Part of Series: Working Papers

Publication Date: 2026-08-04

Number: 26-38