Conditional Predictive Density Evaluation in the Presence of Instabilities

Barbara Rossi

No 688, Working Papers from Barcelona School of Economics

Abstract: We propose new methods for evaluating predictive densities. The methods include Kolmogorov-Smirnov and Cramer-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: structural change; instability; predictive density; dynamic mis-specification; forecast evaluation (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 (search for similar items in EconPapers)
Date: 2015-09
New Economics Papers: this item is included in nep-ecm and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

Downloads: (external link)
https://bw.bse.eu/wp-content/uploads/2015/09/688-file.pdf (application/pdf)

Related works:
Journal Article: Conditional predictive density evaluation in the presence of instabilities (2013)
Working Paper: Conditional predictive density evaluation in the presence of instabilities (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bge:wpaper:688

Access Statistics for this paper

More papers in Working Papers from Barcelona School of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Bruno Guallar ().