Out of sample statistics (MSE-F; ENC-NEW, MSFE adjusted test statistic)

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I performed and out of sample on linear regression. I would like to compute the following metrics:

  • MSE-F statistic (McCracken 2007)
  • Encompassing test statistic (Clark and McCracken 2001)
  • MSFE-adjusted test statistic (Clark and West 2007)

Is there a package in R to compute those measures?

Many thanks!

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