Predictive Density Evaluation. Revised

Valentina Corradi and Norman Swanson ()

Departmental Working Papers from Rutgers University, Department of Economics

Abstract: 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.

Keywords: block bootstrap; density and conditional distribution; forecast accuracy testing; mean square error; parameter estimation error (search for similar items in EconPapers)
JEL-codes: C22 C51 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2006-10-02
New Economics Papers: this item is included in nep-ets and nep-for
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Citations: View citations in EconPapers (75)

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Persistent link: https://EconPapers.repec.org/RePEc:rut:rutres:200621

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