arXiv 8 Mar 2026 · Econometrics
arXiv:2603.07458 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Lazarus, E., Lewis, D. J., Stock, J. H., and Watson, M. W (2018) HAR inference: Recommendations for practice | 1.000 | 8 | 4 | 100% |
| 2 | Coroneo, L. and Iacone, F (2020) Comparing predictive accuracy in small samples using fixed-smoothing asymptotics | 0.961 | 9 | 6 | 89% |
| 3 | Newey, W. K. and West, K. D (1994) Automatic lag selection in covariance matrix estimation | 0.928 | 4 | 3 | 100% |
| 4 | Stark, T (2010) Realistic evaluation of real-time forecasts in the Survey of Professional Forecasters | 0.874 | 5 | 2 | 100% |
| 5 | Kiefer, N. M. and Vogelsang, T. J (2005) A new asymptotic theory for heteroskedasticity-autocorrelation robust tests | 0.737 | 3 | 2 | 100% |
| 6 | Diebold, F. X. and Mariano, R. S (1995) Comparing predictive accuracy | 0.644 | 2 | 2 | 100% |
| 7 | Harvey, D., Leybourne, S., and Newbold, P (1997) Testing the equality of prediction mean squared errors | 0.644 | 2 | 2 | 100% |
| 8 | McCracken, M. W (2019) Tests of conditional predictive ability: Some simulation evidence | 0.644 | 2 | 2 | 100% |
| 9 | Sun, Y (2013) A heteroskedasticity and autocorrelation robust $F$ test using an orthonormal series variance estimator | 0.644 | 2 | 2 | 100% |
| 10 | Canay, I. A., Romano, J. P., and Shaikh, A. M (2017) Randomization tests under an approximate symmetry assumption | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 13 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | An Auditable AI Agent Loop for Empirical Economics: A Case Study in Forecast Combination $ $ | 0.511 | 3 | 2 |