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dc.contributor.authorCorradi, Valentinaen_US
dc.contributor.authorSwanson, Norman R.en_US
dc.date.accessioned2009-01-29T15:49:32Z-
dc.date.available2009-01-29T15:49:32Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/23200-
dc.description.abstractThis paper outlines testing procedures for assessing the relative out-of-sample predictive accuracy of multiple conditional distribution models. The tests that are discussed are based on either the comparison of entire conditional distributions or the comparison of predictive confidence intervals. We also briefly survey existing related methods in the area of predictive density evaluation, including methods based on the probability integral transform and the Kullback-Leibler Information Criterion. The procedures proposed in this paper are similar in many ways to Andrews' (1997) conditional Kolmogorov test and to White's (2000) reality check. In particular, a predictive density test is outlined that involves comparing square (approximation) errors associated with models I, i=1,...,n, by constructing weighted averages over U of E[( F_{i}(u t},theta _{i} dagger )-F_{0}(u t},theta _{0})) 2}] , where F_{0}(. ) and F_{i}(. )$ are true and model-i distributions, u belongs to U, and U is a possibly unbounded set on the real line. A conditional confidence interval version of this test is also outlined, and appropriate bootstrap procedures for obtaining critical values when predictions used in the formation of the test statistics are obtained via rolling and recursive estimation schemes are developed. An empirical illustration comparing alternative predictive models for U.S. inflation is given for the predictive confidence interval test.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesWorking papers / Rutgers University, Department of Economics 2004,23en_US
dc.subject.jelC51en_US
dc.subject.jelC22en_US
dc.subject.ddc330en_US
dc.subject.keywordblock bootstrapen_US
dc.subject.keywordrecursive estimation schemeen_US
dc.subject.keywordreality checken_US
dc.subject.keywordnonlinear causalityen_US
dc.subject.keywordparameter estimation erroren_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwSch├Ątztheorieen_US
dc.titlePredective Density and Conditional Confidence Interval Accuracy Testsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn472978969en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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