Package: PredictorSelect
Type: Package
Title: Out-of-Sample Predictability in Predictive Regressions with Many
        Predictor Candidates
Version: 0.1.0
Authors@R: 
    person("Rong", "Peng", , "r.peng@soton.ac.uk", role = c("aut", "cre"))
Description: 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>.
License: GPL
Encoding: UTF-8
RoxygenNote: 7.3.1
NeedsCompilation: no
Packaged: 2024-06-07 16:08:11 UTC; rp1e23
Author: Rong Peng [aut, cre]
Maintainer: Rong Peng <r.peng@soton.ac.uk>
Repository: CRAN
Date/Publication: 2024-06-10 17:00:11 UTC
Built: R 4.6.0; ; 2026-04-25 21:18:35 UTC; unix
