Alternative Tests for Correct Specification of Conditional Predictive Densities

Tatevik Sekhposyan and Barbara Rossi

No 758, Working Papers from Barcelona School of Economics

Abstract: We propose new methods for evaluating predictive densities in an environment where the estimation error of the parameters used to construct the densities is preserved asymptotically under the null hypothesis. The tests offer a simple way to evaluate the correct specification of predictive densities. Monte Carlo simulation results indicate that our tests are well sized and have good power in detecting misspecifications. An empirical application to the Survey of Professional Forecasters and a baseline macroeconomic model shows the usefulness of our methodology.

Keywords: predictive density; forecast evaluation; probability integral transform; Kolmogorov-Smirnov test; Cramér-von Mises test (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, nep-ets and nep-for
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Alternative tests for correct specification of conditional predictive densities (2019)
Working Paper: Alternative tests for correct specification of conditional predictive densities (2017)
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