Alternative tests for correct specification of conditional predictive densities
AbstractWe propose new methods for evaluating predictive densities that focus on the models' actual predictive ability in finite samples. The tests offer a simple way of evaluating the correct specification of predictive densities, either parametric or non-parametric. The results indicate that our tests are well sized and have good power in detecting mis-specification in predictive densities. An empirical application to the Survey of Professional Forecasters and a baseline Dynamic Stochastic General Equilibrium model shows the usefulness of our methodology.
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Bibliographic InfoPaper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 1416.
Date of creation: Jan 2014
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Web page: http://www.econ.upf.edu/
Predictive Density; Dynamic Mis-specification; Forecast Evaluation;
Other versions of this item:
- Barbara Rossi & Tatevik Sekhposyan, 2014. "Alternative Tests for Correct Specification of Conditional Predictive Densities," Working Papers 758, Barcelona Graduate School of Economics.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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