This survey intends to collect the developments on Goodness-of-Fit for regression models
during the last 20 years, from the very first origins with the proposals based on the idea of …

This chapter discusses estimation, specification testing, and model selection of predictive
density models. In particular, predictive density estimation is briefly discussed, and a variety …

This paper brings together two important but hitherto largely unrelated areas of the
forecasting literature, density forecasting and forecast combination. It proposes a practical …

A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING
BOOTSTRAP ESTIMATORS Page 1 Econometric Theory, 29, 2013, 567–589 …

We propose new scoring rules based on conditional and censored likelihood for assessing
the predictive accuracy of competing density forecasts over a specific region of interest, such …

In this paper, we empirically evaluate competing approaches for combining inflation density
forecasts in terms of Kullback–Leibler divergence. In particular, we apply a similar suite of …

By a forecast will be meant any statement about 'the future', where the future is relative to the
analyst's viewpoint. So as well as the common sense notion of a forecast of what will happen …

In this paper, we show the first order validity of the block bootstrap for Kolmogorov-type
conditional distribution tests under dynamic misspecification and parameter estimation error …

We develop a specification test for the transition density of a discretely sampled continuous-
time jump-diffusion process, based on a comparison of a nonparametric estimate of the …

Detecting and modeling structural changes in GARCH processes have attracted increasing
attention in time series econometrics. In this paper, we propose a new approach to testing …