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dc.contributor.authorKnüppel, Malteen_US
dc.date.accessioned2012-01-27en_US
dc.date.accessioned2012-02-03T10:30:17Z-
dc.date.available2012-02-03T10:30:17Z-
dc.date.issued2011en_US
dc.identifier.isbn978-3-86558-773-2en_US
dc.identifier.urihttp://hdl.handle.net/10419/54982-
dc.description.abstractThe evaluation of multi-step-ahead density forecasts is complicated by the serial correlation of the corresponding probability integral transforms. In the literature, three testing approaches can be found which take this problem into account. However, these approaches can be computationally burdensome, ignore important information and therefore lack power, or suffer from size distortions even asymptotically. In this work, a fourth testing approach based on raw moments is proposed. It is easy to implement, uses standard critical values, can include all moments regarded as important, and has correct asymptotic size. It is found to have good size and power properties if it is based directly on the (standardized) probability integral transforms.en_US
dc.language.isoengen_US
dc.publisherDt. Bundesbank Frankfurt, M.en_US
dc.relation.ispartofseriesDiscussion Paper Series 1: Economic Studies 2011,32en_US
dc.subject.jelC12en_US
dc.subject.jelC52en_US
dc.subject.jelC53en_US
dc.subject.ddc330en_US
dc.subject.keyworddensity forecast evaluationen_US
dc.subject.keywordnormality testsen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwStatistischer Testen_US
dc.subject.stwTheorieen_US
dc.titleEvaluating the calibration of multi-step-ahead density forecasts using raw momentsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn684344750en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:bubdp1:201132-
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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