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 |
|---|---|
| Autores principales: | , |
| Formato: | Artículo |
| Publicado: |
Elsevier Science
November/December 2006
|
| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |