Arbeitspapier
A Test for Comparing Multiple Misspecified Conditional Distributions
This paper introduces a conditional Kolmogorov test, in the spirit of Andrews (1997), that allows for comparison of multiple misspecifed conditional distribution models, for the case of dependent observations. A conditional confidence interval version of the test is also discussed. Model accuracy is measured using a distributional analog of mean square error, in which the squared (approximation) error associated with a given model, say model i; is measured in terms of the average over U of E((Fi(u|Zt,Theta-t-plus)-Fo(u|Zt,Theta-o)))^2; where U is a possibly unbounded set on the real line, Zt is the conditioning information set, Fi is the distribution function of a particular candidate model, and F0 is the true (unkown) distribution function. When comparing more than two models, a ?benchmark? model is specified, and the test is constructed along the lines of the ?reality check? of White (2000). Valid asymptotic critical values are obtained via a version of the block bootstrap which properly captures the effect of parameter estimation error. The results of a small Monte Carlo experiment indicate that the conditional confidence interval version of the test has reasonable finite sample properties even for samples with as few as 60 observations.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2003-14
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Evaluation, Validation, and Selection
- Thema
-
block bootstrap
conditional Kolmogorov test
data snooping
misspecified conditional distribution
Bootstrap-Verfahren
Statistische Verteilung
Theorie
conditional Kolmogorov test
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Corradi, Valentina
Swanson, Norman R.
- Ereignis
-
Veröffentlichung
- (wer)
-
Rutgers University, Department of Economics
- (wo)
-
New Brunswick, NJ
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Corradi, Valentina
- Swanson, Norman R.
- Rutgers University, Department of Economics
Entstanden
- 2003
Ähnliche Objekte (12)
Asymptotically optimal tests for conditional distributions
Consistent test for multivariate conditional distributions
Multiple distributions for biased random test patterns
Multiple distributions for biased random test patterns
Comparing Distributions of Ordinal Data
Comparing Distributions: The Harmonic Mass Index
A Consistency Theorem for Regular Conditional Distributions
A Semiparametric Analysis of Conditional Income Distributions
Methods for summarizing and comparing wealth distributions
A new semiparametric approach to analysing conditional income distributions
Counterfactual distributions in bivariate models: A conditional quantile approach
Stochastic volatility models: Conditional normality versus heavy tailed distributions
Asymptotically optimal tests for conditional distributions
Consistent test for multivariate conditional distributions
Multiple distributions for biased random test patterns
Multiple distributions for biased random test patterns
Comparing Distributions of Ordinal Data
Comparing Distributions: The Harmonic Mass Index
A Consistency Theorem for Regular Conditional Distributions
A Semiparametric Analysis of Conditional Income Distributions
Methods for summarizing and comparing wealth distributions
A new semiparametric approach to analysing conditional income distributions
Counterfactual distributions in bivariate models: A conditional quantile approach
Stochastic volatility models: Conditional normality versus heavy tailed distributions
Asymptotically optimal tests for conditional distributions
Consistent test for multivariate conditional distributions
Multiple distributions for biased random test patterns
Multiple distributions for biased random test patterns
Comparing Distributions of Ordinal Data
Comparing Distributions: The Harmonic Mass Index
A Consistency Theorem for Regular Conditional Distributions
A Semiparametric Analysis of Conditional Income Distributions
Methods for summarizing and comparing wealth distributions
A new semiparametric approach to analysing conditional income distributions
Counterfactual distributions in bivariate models: A conditional quantile approach