Conditional predictive density evaluation in the presence of instabilities

DOI10.1016/J.JECONOM.2013.04.008MaRDI QIDQ2453081zbMATH OpenOpenAlexFDO

Authors Barbara Rossi, Tatevik Sekhposyan

Publication date 6 June 2014

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10230/20842

zbMATH Keywords

forecast evaluationinstabilitystructural changepredictive densitydynamic mis-specification

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric robustness (62G35) Inference from stochastic processes and prediction (62M20)

Recommendations

• Alternative tests for correct specification of conditional predictive densities
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Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Asymptotic Inference about Predictive Ability
• Bootstrap conditional distribution tests in the presence of dynamic misspecification
• Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
• Handbook of economic forecasting. Volume 1
• Likelihood-based scoring rules for comparing density forecasts in tails
• OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY
• Predictive density and conditional confidence interval accuracy tests
• Remarks on a Multivariate Transformation
• Testing for distributional change in time series
• Tests for Parameter Instability and Structural Change With Unknown Change Point

Cited in

(6)

• Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions
• ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH
• Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
• Predictive density and conditional confidence interval accuracy tests
• Testing for strict stationarity via the discrete Fourier transform
• Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty

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