Conditional predictive density evaluation in the presence of instabilities

Barbara Rossi and Tatevik Sekhposyan

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

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: 2013-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (36)

Downloads: (external link)
https://econ-papers.upf.edu/papers/1368.pdf Whole Paper (application/pdf)

Related works:
Working Paper: Conditional Predictive Density Evaluation in the Presence of Instabilities (2015)
Journal Article: 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:upf:upfgen:1368

Access Statistics for this paper

More papers in Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra
Bibliographic data for series maintained by ( this e-mail address is bad, please contact ).