Advanced Search
MyIDEAS: Login

A Test for Comparing Multiple Misspecified Conditional Distributions

Contents:

Author Info

  • Valentina Corradi

    ()
    (Queen Mary, University of London)

  • Norman R. Swanson

    ()
    (Rutgers University)

Abstract

This paper introduces a conditional Kolmogorov test, in the spirit of Andrews (1997), that allows for comparison of multiple misspecifed conditional distribution models, for the case of dependent observations. A conditional confidence interval version of the test is also discussed. Model accuracy is measured using a distributional analog of mean square error, in which the squared (approximation) error associated with a given model, say model i; is measured in terms of the average over U of E((Fi(u|Zt,Theta-t-plus)-Fo(u|Zt,Theta-o)))^2; where U is a possibly unbounded set on the real line, Zt is the conditioning information set, Fi is the distribution function of a particular candidate model, and F0 is the true (unkown) distribution function. When comparing more than two models, a “benchmark” model is specified, and the test is constructed along the lines of the “reality check” of White (2000). Valid asymptotic critical values are obtained via a version of the block bootstrap which properly captures the e®ect of parameter estimation error. The results of a small Monte Carlo experiment indicate that the conditional confidence interval version of the test has reasonable finite sample properties even for samples with as few as 60 observations.

Download Info

If 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.
File URL: ftp://snde.rutgers.edu/Rutgers/wp/2003-14.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Rutgers University, Department of Economics in its series Departmental Working Papers with number 200314.

as in new window
Length:
Date of creation: 21 Oct 2003
Date of revision:
Handle: RePEc:rut:rutres:200314

Contact details of provider:
Postal: New Jersey Hall - 75 Hamilton Street, New Brunswick, NJ 08901-1248
Phone: (732) 932-7482
Fax: (732) 932-7416
Web page: http://snde.rutgers.edu/Rutgers/wp/rutgers-wplist.html
More information through EDIRC

Related research

Keywords: block bootstrap; conditional Kolmogorov test; data snooping; misspecified conditional distribution;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Gon alves, S lvia & White, Halbert, 2002. "The Bootstrap Of The Mean For Dependent Heterogeneous Arrays," Econometric Theory, Cambridge University Press, vol. 18(06), pages 1367-1384, December.
  2. Yongsung Chang & Joao Gomes & Frank Schorfheide, 2002. "Learning by Doing as a Propagation Mechanism," Macroeconomics 0204002, EconWPA.
  3. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  4. Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang, 2002. "Consistent Testing for Stochastic Dominance: A Subsampling Approach," FMG Discussion Papers dp407, Financial Markets Group.
  5. Granger, C. W. J. & White, Halbert & Kamstra, Mark, 1989. "Interval forecasting : An analysis based upon ARCH-quantile estimators," Journal of Econometrics, Elsevier, vol. 40(1), pages 87-96, January.
  6. Fernandez-Villaverde, Jesus & Francisco Rubio-Ramirez, Juan, 2004. "Comparing dynamic equilibrium models to data: a Bayesian approach," Journal of Econometrics, Elsevier, vol. 123(1), pages 153-187, November.
  7. Whang, Yoon-Jae, 2000. "Consistent bootstrap tests of parametric regression functions," Journal of Econometrics, Elsevier, vol. 98(1), pages 27-46, September.
  8. Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, vol. 57(2), pages 307-33, March.
  9. Amisano, Gianni & Giacomini, Raffaella, 2007. "Comparing Density Forecasts via Weighted Likelihood Ratio Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 177-190, April.
  10. Goncalves, Silvia & White, Halbert, 2000. "Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models," University of California at San Diego, Economics Working Paper Series qt1bj657ff, Department of Economics, UC San Diego.
  11. Christoffersen, Peter F, 1998. "Evaluating Interval Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-62, November.
  12. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1999. "Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 661-673, November.
  13. Donald W.K. Andrews, 1996. "A Conditional Kolmogorov Test," Cowles Foundation Discussion Papers 1111R, Cowles Foundation for Research in Economics, Yale University.
  14. Peter F. Christoffersen & Francis X. Diebold, 2000. "How Relevant is Volatility Forecasting for Financial Risk Management?," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 12-22, February.
  15. Corradi, Valentina & Swanson, Norman R., 2006. "Bootstrap conditional distribution tests in the presence of dynamic misspecification," Journal of Econometrics, Elsevier, vol. 133(2), pages 779-806, August.
  16. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," NBER Technical Working Papers 0215, National Bureau of Economic Research, Inc.
  17. Frank Schorfheide, 2000. "Loss function-based evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 645-670.
  18. Giacomini, Raffaella, 2002. "Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods," University of California at San Diego, Economics Working Paper Series qt59s2g5j5, Department of Economics, UC San Diego.
  19. Clements, Michael P. & Taylor, Nick, 2001. "Bootstrapping prediction intervals for autoregressive models," International Journal of Forecasting, Elsevier, vol. 17(2), pages 247-267.
  20. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
  21. Whang, Yoon-Jae, 2001. "Consistent specification testing for conditional moment restrictions," Economics Letters, Elsevier, vol. 71(3), pages 299-306, June.
  22. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
  23. Chatfield, Chris, 1993. "Calculating Interval Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 121-35, April.
  24. Li, Fuchun & Tkacz, Greg, 2006. "A consistent bootstrap test for conditional density functions with time-series data," Journal of Econometrics, Elsevier, vol. 133(2), pages 863-886, August.
  25. Hansen, Peter Reinhard, 2005. "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 365-380, October.
  26. Fuchun Li & Greg Tkacz, 2001. "A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data," Working Papers 01-21, Bank of Canada.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:rut:rutres:200314. See general 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: ().

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.