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...
| Publicado en: | Journal of Econometrics Vol. 135; no. 1/2; pp. 187 - 229 |
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| Autores principales: | , |
| Formato: | Artículo |
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Elsevier Science
November/December 2006
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=511328087&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 511328087 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 03044076 ECM jtl: Journal of Econometrics issn: 03044076 maglogo: N pubinfo: dt: November/December 2006 vid: 135 iid: 1/2 pid: 1004 pub: Elsevier Science artinfo: ui: 511328087 10.1016/j.jeconom.2005.07.026 ppf: 187 ppct: 42 formats: tig: atl: Predictive density and conditional confidence interval accuracy tests. aug: au: Corradi, Valentina Swanson, Norman R. su: Parameter estimation Confidence intervals Statistical bootstrapping sug: subj: Parameter estimation Confidence intervals Statistical bootstrapping ab: 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. We also briefly survey existing related methods in the area of predictive density evaluation, including methods based on the probability integral transform and the Kullback-Leibler Information Criterion. The procedures proposed in this paper are similar in many ways to [Andrews', 1997. A conditional Kolmogorov test. Econometrica 65, 1097-1128.] conditional Kolmogorov test and to [White's, 2000. A reality check for data snooping. Econometrica 68, 1097-1126.] reality check. In particular, a predictive density test is outlined that involves comparing square (approximation) errors associated with models i,i=1,...,n, by constructing weighted averages over U of E((Fi(u|Zt,θi†)-F0(u|Zt,θ0))2), where F0(.|.) and Fi(.|.) are true and model-i distributions, u ∈ U, and U is a possibly unbounded set on the real line. A conditional confidence interval version of this test is also outlined, and appropriate bootstrap procedures for obtaining critical values when predictions used in the formation of the test statistics are obtained via rolling and recursive estimation schemes are developed. An empirical illustration comparing alternative predictive models for U.S. inflation is given for the predictive confidence interval test. Copyright (c) 2006 Elsevier B.V. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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