EconStor >
Rutgers University >
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
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorCorradi, Valentinaen_US
dc.contributor.authorSwanson, Norman R.en_US
dc.date.accessioned2008-05-16en_US
dc.date.accessioned2010-05-14T11:02:21Z-
dc.date.available2010-05-14T11:02:21Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/31304-
dc.description.abstractThis 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.isoengen_US
dc.publisherDep. of Economics, Rutgers, the State Univ. of New Jersey New Brunswick, NJen_US
dc.relation.ispartofseriesWorking papers // Department of Economics, Rutgers, the State University of New Jersey 2006,21en_US
dc.subject.jelC22en_US
dc.subject.jelC51en_US
dc.subject.ddc330en_US
dc.subject.keywordblock bootstrapen_US
dc.subject.keyworddensity and conditional distributionen_US
dc.subject.keywordforecast accuracy testingen_US
dc.subject.keywordmean square erroren_US
dc.subject.keywordparameter estimation erroren_US
dc.titlePredictive density evaluationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn56631696Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Working Papers, Department of Economics, Rutgers University

Files in This Item:
File Description SizeFormat
56631696X.pdf520.59 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.