CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage

Rafał Weron

HSC Software from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: CHRISTOF(I,P) returns the likelihood ratio test values for the unconditional coverage, independence and conditional coverage tests, respectively, for a binary time series I and a coverage probability P. The series I(t) is defined as: I(t) = 1 if the actual value of the forecasted process belongs to the prediction interval for time t computed at time t-1 and 0 otherwise. [LR_UC,LR_I,LR_CC,LR_UC_P,LR_I_P,LR_CC_P]=CHRISTOF(I,P) additionally returns the corresponding p-values.

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.2).
Keywords: Christoffersen's test; Likelihood ratio test; Unconditional coverage; Conditional coverage. (search for similar items in EconPapers)
Date: 2007-09-09
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Persistent link: https://EconPapers.repec.org/RePEc:wuu:hscode:m07001

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