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dc.contributor.authorCorradi, Valentinaen
dc.contributor.authorSwanson, Norman R.en
dc.date.accessioned2008-05-16-
dc.date.accessioned2010-05-14T11:02:21Z-
dc.date.available2010-05-14T11:02:21Z-
dc.date.issued2005-
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
dc.language.isoengen
dc.publisher|aRutgers University, Department of Economics |cNew Brunswick, NJen
dc.relation.ispartofseries|aWorking Paper |x2006-21en
dc.subject.jelC22en
dc.subject.jelC51en
dc.subject.ddc330en
dc.subject.keywordblock bootstrapen
dc.subject.keyworddensity and conditional distributionen
dc.subject.keywordforecast accuracy testingen
dc.subject.keywordmean square erroren
dc.subject.keywordparameter estimation erroren
dc.titlePredictive density evaluation-
dc.type|aWorking Paperen
dc.identifier.ppn56631696Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:rut:rutres:200621en

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