Predictive density and conditional confidence interval accuracy tests.

This paper outlines testing procedures for assessing the relative out-of-sample predictive accuracy of multiple conditional distribution models. The tests that are discussed are based on either the comparison of entire conditional distributions or the comparison of predictive confidence intervals. W...

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Bibliographic Details

Published in:	Journal of Econometrics Vol. 135; no. 1/2; pp. 187 - 229
Main Authors:	Corradi, Valentina, Swanson, Norman R.
Format:	Article
Published:	Elsevier Science November/December 2006
Subjects:	Parameter estimation Confidence intervals Statistical bootstrapping
Online Access:	View this record in EBSCOhost