how to do mincer zarnowitz regression in r in javascript

The Mincer-Zarnowitz regression is a technique used in econometrics to test for the adequacy of a given econometric model by comparing the forecasts of the model with the actual observations. It is commonly used to evaluate the performance of economic forecasting models.

To perform a Mincer-Zarnowitz regression in R, you can use the mztest function from the forecast package. Here's an example code:


index.tsx
library(forecast)
# Load the data
data(uschange)
# Fit a time series model to the data
fit <- Arima(uschange, order=c(1,1,0))
# Perform the Mincer-Zarnowitz regression
mz_res <- mztest(fit, uschange)
# Print the results
print(mz_res)
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To perform a Mincer-Zarnowitz regression in JavaScript, you can use a library such as econometrics-js. Here's an example code:


index.tsx
// Load the data
var uschange = [1.93, 0.71, 0.44, 0.36, 0.33, 0.31, 0.28, 0.26, 0.26, 0.21, 0.17,
                0.16, 0.16, 0.14, 0.15, 0.14, 0.13, 0.13, 0.15, 0.12, 0.1, 0.13, 0.1];
// Fit a time series model to the data
var fit = econometrics.ARIMA.fit(uschange, 1, 1, 0);
// Perform the Mincer-Zarnowitz regression
var mz_res = econometrics.MZTest.test(fit, uschange);
// Print the results
console.log(mz_res);
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