PredictorSelect: Out-of-Sample Predictability in Predictive Regressions with Many Predictor Candidates

Consider a linear predictive regression setting with a potentially large set of candidate predictors. This work is concerned with detecting the presence of out of sample predictability based on out of sample mean squared error comparisons given in Gonzalo and Pitarakis (2023) <doi:10.1016/j.ijforecast.2023.10.005>.

Version: 0.1.0
Published: 2024-06-10
DOI: 10.32614/CRAN.package.PredictorSelect
Author: Rong Peng [aut, cre]
Maintainer: Rong Peng <r.peng at soton.ac.uk>
License: GPL-2 | GPL-3 [expanded from: GPL]
NeedsCompilation: no
CRAN checks: PredictorSelect results

Documentation:

Reference manual: PredictorSelect.pdf

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Package source: PredictorSelect_0.1.0.tar.gz
Windows binaries: r-devel: PredictorSelect_0.1.0.zip, r-release: PredictorSelect_0.1.0.zip, r-oldrel: PredictorSelect_0.1.0.zip
macOS binaries: r-release (arm64): PredictorSelect_0.1.0.tgz, r-oldrel (arm64): PredictorSelect_0.1.0.tgz, r-release (x86_64): PredictorSelect_0.1.0.tgz, r-oldrel (x86_64): PredictorSelect_0.1.0.tgz

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