Predictive density and conditional confidence interval accuracy tests

DOI10.1016/j.jeconom.2005.07.026zbMath1418.62438OpenAlexW2150522001MaRDI QIDQ291849

Norman R. Swanson, Valentina Corradi

Publication date: 10 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.07.026

zbMATH Keywords

block bootstrappredictive densityparameter estimation errorrolling and recursive estimation scheme

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Nonparametric statistical resampling methods (62G09)

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