Predictive density and conditional confidence interval accuracy tests

DOI10.1016/J.JECONOM.2005.07.026zbMATH Open1418.62438OpenAlexW2150522001MaRDI QIDQ291849FDOQ291849

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

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• Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models

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)

Cites Work

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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
• Regression diagnostics meets forecast evaluation: conditional calibration, reliability diagrams, and coefficient of determination
• Bootstrap conditional distribution tests in the presence of dynamic misspecification
• 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
• Quantitative portfolio selection: using density forecasting to find consistent portfolios
• A consistent test for nonlinear out of sample predictive accuracy.
• 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
• Construction and Visualization of Confidence Sets for Frequentist Distributional Forecasts
• Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
• 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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