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Department of Economics, Rutgers University >
Working Papers, Department of Economics, Rutgers University >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/31304
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Corradi, Valentina | | en_US |
| dc.contributor.author | | Swanson, Norman R. | | en_US |
| dc.date.accessioned | | 2008-05-16 | | en_US |
| dc.date.accessioned | | 2010-05-14T11:02:21Z | | - |
| dc.date.available | | 2010-05-14T11:02:21Z | | - |
| dc.date.issued | | 2005 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/31304 | | - |
| dc.description.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 specification 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 (2005a,b,c,d), 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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Dep. of Economics, Rutgers, the State Univ. of New Jersey New Brunswick, NJ | | en_US |
| dc.relation.ispartofseries | | Working papers // Department of Economics, Rutgers, the State University of New Jersey 2006,21 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.jel | | C51 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | block bootstrap | | en_US |
| dc.subject.keyword | | density and conditional distribution | | en_US |
| dc.subject.keyword | | forecast accuracy testing | | en_US |
| dc.subject.keyword | | mean square error | | en_US |
| dc.subject.keyword | | parameter estimation error | | en_US |
| dc.title | | Predictive density evaluation | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 56631696X | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Working Papers, Department of Economics, Rutgers University
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