Predictive Density Evaluation. Revised
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Keywordsblock bootstrap; density and conditional distribution; forecast accuracy testing; mean square error; parameter estimation error;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-03-10 (All new papers)
- NEP-ETS-2007-03-10 (Econometric Time Series)
- NEP-FOR-2007-03-10 (Forecasting)
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