A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS
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Publication:3375348
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Cites work
- A Conditional Kolmogorov Test
- A Reality Check for Data Snooping
- A consistent test of conditional parametric distributions
- A sharper Bonferroni procedure for multiple tests of significance
- Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
- Comparing dynamic equilibrium models to data: a Bayesian approach
- Consistent bootstrap tests of parametric regression functions
- Consistent specification testing for conditional moment restrictions
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- Maximum Likelihood Estimation of Misspecified Models
- Maximum likelihood and the bootstrap for nonlinear dynamic models
- On blocking rules for the bootstrap with dependent data
- Second-order correctness of the blockwise bootstrap for stationary observations
- The jackknife and the bootstrap for general stationary observations
- The large sample behaviour of the generalized method of moments estimator in misspecified models
Cited in
(16)- Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
- A new class of independence tests for interval forecasts evaluation
- Bootstrap conditional distribution tests in the presence of dynamic misspecification
- Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
- Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
- Testing interval forecasts: a GMM-based approach
- Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
- Likelihood-based scoring rules for comparing density forecasts in tails
- A simple and effective misspecification test for the double-hurdle model
- How to compare interpretatively different models for the conditional variance function
- Optimal comparison of misspecified moment restriction models under a chosen measure of fit
- Testing for more positive expectation dependence with application to model comparison
- Predictive density and conditional confidence interval accuracy tests
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Robust forecast comparison
- Maximum likelihood and the bootstrap for nonlinear dynamic models
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