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.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 2003-14
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Evaluation, Validation, and Selection
- Subject
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block bootstrap
conditional Kolmogorov test
data snooping
misspecified conditional distribution
Bootstrap-Verfahren
Statistische Verteilung
Theorie
conditional Kolmogorov test
- Event
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Geistige Schöpfung
- (who)
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Corradi, Valentina
Swanson, Norman R.
- Event
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Veröffentlichung
- (who)
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Rutgers University, Department of Economics
- (where)
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New Brunswick, NJ
- (when)
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2003
- 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
- 2003
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