Conditional predictive density evaluation in the presence of instabilities

Barbara Rossi and Tatevik Sekhposyan

Journal of Econometrics, 2013, vol. 177, issue 2, 199-212

Abstract: We propose new methods for evaluating predictive densities. The methods include Kolmogorov–Smirnov and Cramér–von Mises-type tests for the correct specification of predictive densities robust to dynamic mis-specification. The novelty is that the tests can detect mis-specification in the predictive densities even if it appears only over a fraction of the sample, due to the presence of instabilities. Our results indicate that our tests are well sized and have good power in detecting mis-specification in predictive densities, even when it is time-varying. An application to density forecasts of the Survey of Professional Forecasters demonstrates the usefulness of the proposed methodologies.

Keywords: Predictive density; Dynamic mis-specification; Instability; Structural change; Forecast evaluation (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

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Related works:
Working Paper: Conditional Predictive Density Evaluation in the Presence of Instabilities (2015)
Working Paper: Conditional predictive density evaluation in the presence of instabilities (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:177:y:2013:i:2:p:199-212

DOI: 10.1016/j.jeconom.2013.04.008

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