We derive a new family of probability densities that have the property of closed-form integrability. This flexible family finds a variety of applications, of which we illustrate density forecasting from models of the AR-ARCH class for U.S. inflation. We find that the hypernormal distribution for the model's disturbances leads to better density forecasts than the ones produced under the assumption that the disturbances are Normal or Student's t.
|Date of creation:||01 Sep 2002|
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- McDonald, James B, 1984. "Some Generalized Functions for the Size Distribution of Income," Econometrica, Econometric Society, vol. 52(3), pages 647-663, May.
- Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society.
- Abadir, Karim, 1995.
"An Introduction to Hypergeometric Functions for Economists,"
9510, Exeter University, Department of Economics.
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- Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
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