Arbeitspapier

Predictive density evaluation

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This chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed, and a variety of different specification and model evaluation tests due to various authors including Christoffersen and Diebold (2000), Diebold, Gunther and Tay (1998), Diebold, Hahn and Tay (1999), White (2000), Bai (2003), Corradi and Swanson (2005a,b,c,d), Hong and Li (2003), and others are reviewed. Extensions of some existing techniques to the case of out-of-sample evaluation are also provided, and asymptotic results associated with these extensions are outlined.

Language: Englisch

Bibliographic citation: Series: Working Paper ; No. 2006-21

Classification: Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Construction and Estimation

Subject: block bootstrap
density and conditional distribution
forecast accuracy testing
mean square error
parameter estimation error

Event: Geistige Schöpfung

(who): Corradi, Valentina
Swanson, Norman R.

Event: Veröffentlichung

(who): Rutgers University, Department of Economics

(where): New Brunswick, NJ

(when): 2005

Handle: http://hdl.handle.net/10419/31304

Last update: 10.03.2025, 11:44 AM CET

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Object type

Arbeitspapier

Associated

Corradi, Valentina
Swanson, Norman R.
Rutgers University, Department of Economics

Time of origin

2005

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