Arbeitspapier
Nonparametric bootstrap procedures for predictive inference based on recursive estimation schemes
Our objectives in this paper are twofold. First, we introduce block bootstrap techniques that are (first order) valid in recursive estimation frameworks. Thereafter, we present two examples where predictive accuracy tests are made operational using our new bootstrap procedures. In one application, we outline a consistent test for out-of-sample nonlinear Granger causality, and in the other we outline a test for selecting amongst multiple alternative forecasting models, all of which are possibly misspecified. More specifically, our examples extend the White (2000) reality check to the case of non vanishing parameter estimation error, and extend the integrated conditional moment tests of Bierens (1982, 1990) and Bierens and Ploberger (1997) to the case of out-of-sample prediction. In both examples, appropriate re-centering of the bootstrap score is required in order to ensure that the tests have asymptotically correct size, and the need for such re-centering is shown to arise quite naturally when testing hypotheses of predictive accuracy. In a Monte Carlo investigation, we compare the finite sample properties of our block bootstrap procedures with the parametric bootstrap due to Kilian (1999); all within the context of various encompassing and predictive accuracy tests. An empirical illustration is also discussed, in which it is found that unemployment appears to have nonlinear marginal predictive content for inflation.
- Language
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Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 2006-18
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Construction and Estimation
- Subject
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Block bootstrap
nonlinear causality
parameter estimation error
reality check
recursive estimation scheme
- Event
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Geistige Schöpfung
- (who)
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Corradi, Valentina
Swanson, Norman R.
- Event
-
Veröffentlichung
- (who)
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Rutgers University, Department of Economics
- (where)
-
New Brunswick, NJ
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Corradi, Valentina
- Swanson, Norman R.
- Rutgers University, Department of Economics
Time of origin
- 2005
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