Alternative tests for correct specification of conditional predictive densities
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DOI: 10.1016/j.jeconom.2018.07.008
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- Barbara Rossi & Tatevik Sekhposyan, 2015. "Alternative Tests for Correct Specification of Conditional Predictive Densities," Working Papers 758, Barcelona Graduate School of Economics.
- Barbara Rossi & Tatevik Sekhposyan, 2014. "Alternative tests for correct specification of conditional predictive densities," Economics Working Papers 1416, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2017.
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More about this item
Keywords
Predictive density; Probability integral transform; Kolmogorov–Smirnov test; Cramér–von Mises test; Forecast evaluation;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; 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
Statistics
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