Validating multiple-period density-forecasting models
AbstractThis paper examines the problem of how to validate multiple-period density forecasting models. Such models are more difficult to validate than their single-period equivalents, because consecutive observations are subject to common shocks that undermine i.i.d. The paper examines various solutions to this problem, and proposes a new solution based on the application of standard tests to a resample that is constructed to be i.i.d. It suggests that this solution is superior to alternatives, and presents results indicating that tests based on the i.i.d. resample approach have good power. Copyright Â© 2007 John Wiley & Sons, Ltd.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.
Volume (Year): 26 (2007)
Issue (Month): 4 ()
Contact details of provider:
Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.