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Predictive Density Evaluation. Revised

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Author Info
Valentina Corradi () (Queen Mary, University of London)
Norman Swanson () (Rutgers University)

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Abstract

This 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 (2000), Diebold, Gunther and Tay (1998), Diebold, Hahn and Tay (1999), White (2000), Bai (2003), Corradi and Swanson (2005a,b,c,d), Hong and Li (2003), 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.

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Publisher Info
Paper provided by Rutgers University, Department of Economics in its series Departmental Working Papers with number 200621.

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Length: 20 pages
Date of creation: 02 Oct 2006
Date of revision:
Handle: RePEc:rut:rutres:200621

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Related research
Keywords: block bootstrap; density and conditional distribution; forecast accuracy testing; mean square error; parameter estimation error;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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  1. Teräsvirta, Timo, 2005. "Forecasting economic variables with nonlinear models," Working Paper Series in Economics and Finance 598, Stockholm School of Economics, revised 29 Dec 2005. [Downloadable!]
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