Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods
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- Raffaella Giacomini, 2002. "Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods," Boston College Working Papers in Economics 583, Boston College Department of Economics.
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Cited by:
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
- Raffaella Giacomini & Halbert White, 2006.
"Tests of Conditional Predictive Ability,"
Econometrica, Econometric Society, vol. 74(6), pages 1545-1578, November.
- Giacomini, Raffaella & White, Halbert, 2003. "Tests of Conditional Predictive Ability," University of California at San Diego, Economics Working Paper Series qt5jk0j5jh, Department of Economics, UC San Diego.
- Raffaella Giacomini & Halbert White, 2003. "Tests of Conditional Predictive Ability," Econometrics 0308001, University Library of Munich, Germany.
- Raffaella Giacomini & Halbert White, 2003. "Tests of conditional predictive ability," Boston College Working Papers in Economics 572, Boston College Department of Economics.
- Corradi, Valentina & Swanson, Norman R., 2004. "A test for the distributional comparison of simulated and historical data," Economics Letters, Elsevier, vol. 85(2), pages 185-193, November.
- Foroni, Claudia & Ravazzolo, Francesco & Rossini, Luca, 2019. "Forecasting daily electricity prices with monthly macroeconomic variables," Working Paper Series 2250, European Central Bank.
- Hall, Stephen G. & Mitchell, James, 2007. "Combining density forecasts," International Journal of Forecasting, Elsevier, vol. 23(1), pages 1-13.
- Corradi, Valentina & Swanson, Norman R., 2006.
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Journal of Econometrics, Elsevier, vol. 135(1-2), pages 187-228.
- Valentina Corradi & Norman Swanson, 2004. "Predective Density and Conditional Confidence Interval Accuracy Tests," Departmental Working Papers 200423, Rutgers University, Department of Economics.
- Stefania D'Amico, 2004. "Density Estimation and Combination under Model Ambiguity," Computing in Economics and Finance 2004 273, Society for Computational Economics.
- Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004.
"Forecasting economic and financial time-series with non-linear models,"
International Journal of Forecasting, Elsevier, vol. 20(2), pages 169-183.
- Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics.
- Isao Ishida, 2005.
"Scanning Multivariate Conditional Densities with Probability Integral Transforms,"
CIRJE F-Series
CIRJE-F-369, CIRJE, Faculty of Economics, University of Tokyo.
- Isao Ishida, 2005. "Scanning Multivariate Conditional Densities with Probability Integral Transforms," CARF F-Series CARF-F-045, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Dick van Dijk & Philip Hans Franses, 2003.
"Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 727-744, December.
- van Dijk, D.J.C. & Franses, Ph.H.B.F., 2003. "Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy," Econometric Institute Research Papers EI 2003-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Valentina Corradi & Norman Swanson, 2003. "The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation," Departmental Working Papers 200313, Rutgers University, Department of Economics.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005.
"Volatility Forecasting,"
PIER Working Paper Archive
05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," NBER Working Papers 11188, National Bureau of Economic Research, Inc.
- James Mitchell & Stephen G. Hall, 2005. "Evaluating, Comparing and Combining Density Forecasts Using the KLIC with an Application to the Bank of England and NIESR ‘Fan’ Charts of Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 995-1033, December.
- Valentina Corradi & Norman R. Swanson, 2003. "A Test for Comparing Multiple Misspecified Conditional Distributions," Departmental Working Papers 200314, Rutgers University, Department of Economics.
- Stefania D'Amico, 2005. "Density selection and combination under model ambiguity: an application to stock returns," Finance and Economics Discussion Series 2005-09, Board of Governors of the Federal Reserve System (U.S.).
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Keywords
; ; ; ;JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- 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
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