Alternative tests for correct specification of conditional predictive densities
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Publication:1739884
DOI10.1016/j.jeconom.2018.07.008zbMath1452.62956OpenAlexW3122976219MaRDI QIDQ1739884
Barbara Rossi, Tatevik Sekhposyan
Publication date: 29 April 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10230/22488
probability integral transformpredictive densityforecast evaluationKolmogorov-Smirnov testCramér-von Mises test
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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