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Title:Predictive Density Evaluation PDF Logo
Authors:Corradi, Valentina
Swanson, Norman R.
Issue Date:2004
Series/Report no.:Working papers / Rutgers University, Department of Economics 2004,19
Abstract:This Chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed. And a variety of different specifications and model evaluation tests due to various authors including Christoffersen and Diebold (2000), Diebold Gunther and Tay (1998), Diebold Hahn and Tay (1999), White (2000), Bai (2003), Corradi and Swanson (2003 and 2004(a),(b),(c)), Hong and Li (2003), and others are reviewed. Extensions of some existing techniques to the case of out-of-sample evaluation are also provided, and asymptotic results associated with these extensions are outlined.
Subjects:Predictive density
JEL:C51
C22
Document Type:Working Paper
Appears in Collections:Working Papers, Department of Economics, Rutgers University

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