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.publisher|aDep. of Economics, Rutgers, the State Univ. of New Jersey |cNew Brunswick, NJen_US
dc.relation.ispartofseries|aWorking papers // Department of Economics, Rutgers, the State University of New Jersey |x2006,21en_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.type|aWorking Paperen_US
dc.identifier.ppn56631696Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

Files in This Item:
File
Size
520.59 kB





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