Predictive Density Evaluation
AbstractThis chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed, and a variety of different specification and model evaluation tests due to various authors including Christoffersen and Diebold [Christoffersen, P., Diebold, F.X. (2000). "How relevant is volatility forecasting for financial risk management?". Review of Economics and Statistics 82, 12-22], Diebold, Gunther and Tay [Diebold, F.X., Gunther, T., Tay, A.S. (1998). "Evaluating density forecasts with applications to finance and management". International Economic Review 39, 863-883], Diebold, Hahn and Tay [Diebold, F.X., Hahn, J., Tay, A.S. (1999). "Multivariate density forecast evaluation and calibration in financial risk management: High frequency returns on foreign exchange". Review of Economics and Statistics 81, 661-673], White [White, H. (2000). "A reality check for data snooping". Econometrica 68, 1097-1126], Bai [Bai, J. (2003). "Testing parametric conditional distributions of dynamic models". Review of Economics and Statistics 85, 531-549], Corradi and Swanson [Corradi, V., Swanson, N.R. (2005a). "A test for comparing multiple misspecified conditional distributions". Econometric Theory 21, 991-1016; Corradi, V., Swanson, N.R. (2005b). "Nonparametric bootstrap procedures for predictive inference based on recursive estimation schemes". Working Paper, Rutgers University; Corradi, V., Swanson, N.R. (2006a). "Bootstrap conditional distribution tests in the presence of dynamic misspecification". Journal of Econometrics, in press; Corradi, V., Swanson, N.R. (2006b). "Predictive density and conditional confidence interval accuracy tests". Journal of Econometrics, in press], Hong and Li [Hong, Y.M., Li, H.F. (2003). "Nonparametric specification testing for continuous time models with applications to term structure of interest rates". Review of Financial Studies, 18, 37-84], and others are reviewed. Extensions of some existing techniques to the case of out-of-sample evaluation are also provided, and asymptotic results associated with these extensions are outlined.
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.
This chapter was published in:
This item is provided by Elsevier in its series Handbook of Economic Forecasting with number 1-05.
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/bookseriesdescription.cws_home/BS_HE/description
Other versions of this item:
- B0 - Schools of Economic Thought and Methodology - - General
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. 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: (Zhang, Lei).
If references are entirely missing, you can add them using this form.