Predictive density and conditional confidence interval accuracy tests

DOI10.1016/J.JECONOM.2005.07.026MaRDI QIDQ291849zbMATH OpenOpenAlexFDO

Authors Valentina Corradi, Norman R. Swanson

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 bootstrapparameter estimation errorpredictive densityrolling and recursive estimation scheme

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 720689 (Why is no real title available?)
• A Conditional Kolmogorov Test
• A Reality Check for Data Snooping
• A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS
• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• A consistent test for nonlinear out of sample predictive accuracy.
• A sharper Bonferroni procedure for multiple tests of significance
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• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
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• Subsampling
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• Tests of Conditional Predictive Ability
• Tests of equal forecast accuracy and encompassing for nested models
• The Stationary Bootstrap
• The control of the false discovery rate in multiple testing under dependency.
• The jackknife and the bootstrap for general stationary observations
• The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
• The positive false discovery rate: A Bayesian interpretation and the \(q\)-value
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Theoretical comparisons of block bootstrap methods
• the Block-Block Bootstrap: Improved Asymptotic Refinements

Cited in

(27)

• Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
• Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
• Bootstrap conditional distribution tests in the presence of dynamic misspecification
• Regression diagnostics meets forecast evaluation: conditional calibration, reliability diagrams, and coefficient of determination
• Calibration tests for count data
• Consistent ranking of volatility models
• Self-exciting threshold binomial autoregressive processes
• Conditional predictive density evaluation in the presence of instabilities
• Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
• How to compare interpretatively different models for the conditional variance function
• Combining inflation density forecasts
• Testing for structural stability of factor augmented forecasting models
• Testing interval forecasts: a GMM-based approach
• On the comparison of interval forecasts
• A consistent test for nonlinear out of sample predictive accuracy.
• Quantitative portfolio selection: using density forecasting to find consistent portfolios
• Likelihood-based scoring rules for comparing density forecasts in tails
• Comparing the accuracy of density forecasts from competing GARCH models
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
• Construction and Visualization of Confidence Sets for Frequentist Distributional Forecasts
• Statistical tests for multiple forecast comparison
• Specification tests of parametric dynamic conditional quantiles
• An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
• Probabilistic forecasts of volatility and its risk premia
• Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty
• Optimal prediction pools

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